@inproceedings{994834b15acd42b78e7fc838d7559f6b,
title = "COBra: Copula-based portfolio optimization",
abstract = "The meta-elliptical t copula with noncentral t GARCH univariate margins is studied as a model for asset allocation. A method of parameter estimation is deployed that is nearly instantaneous for large dimensions. The expected shortfall of the portfolio distribution is obtained by combining simulation with a parametric approximation for speed enhancement. A simulation-based method for mean-expected shortfall portfolio optimization is developed. An extensive out-of-sample backtest exercise is conducted and comparisons made with common asset allocation techniques.",
keywords = "CCC, Expected shortfall, GARCH, Non-ellipticity, Student{\textquoteright}s t-copula",
author = "Paolella, \{Marc S.\} and Pawe{\l} Polak",
note = "Publisher Copyright: {\textcopyright} Springer International Publishing AG 2018.; 11th International Conference of the Thailand Econometric Society, TES 2018 ; Conference date: 10-01-2018 Through 12-01-2018",
year = "2018",
doi = "10.1007/978-3-319-70942-0\_3",
language = "English",
isbn = "9783319709413",
series = "Studies in Computational Intelligence",
publisher = "Springer Verlag",
pages = "36--77",
editor = "Songsak Sriboonchitta and Nopasit Chakpitak and Vladik Kreinovich",
booktitle = "Predictive Econometrics and Big Data",
}