Recovering copulas from limited information and an application to asset allocation
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- Li, Wei-Zhen & Zhai, Jin-Rui & Jiang, Zhi-Qiang & Wang, Gang-Jin & Zhou, Wei-Xing, 2022.
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- Guidolin, Massimo & Hyde, Stuart, 2012.
"Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective,"
Journal of Banking & Finance, Elsevier, vol. 36(3), pages 695-716.
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Keywords
Shannon entropy Most entropic copulas The Kullback-Leibler cross entropy Rank correlations CRRA utility functions;Statistics
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