Conditional Value-at-Risk (CVaR) minimization model by applying multidimensional mixed Archimedean copula function and obtaining …: a multidimensional Gaussian copula model and a constant mix portfolio. Our empirical analysis shows that the Mixed … Copula-CVaR approach generates portfolios with better downside risk statistics for any rebalancing period and it is more …

copula density function. We find that large local fluctuations strongly increase the positive dependence but lower slightly … the negative one in the copula density. This interesting feature is due to cross-correlations of volume imbalances between … stocks. Also, we explore the asymmetries of tail dependencies of the copula density, which are moderate for the negative …

The inability of the Gaussian copula to describe the tail dependence among risks has been sharply criticized since the … 2008 financial crisis. In this paper, we extend the classic Gaussian copula to the distorted GAB copula with the distorted … mix method. Similar with the Gaussian copula, the distorted GAB copula can be uniquely determined by all its two …