scholarly journals Dynamic Correlation or Tail Dependence Hedging for Portfolio Selection

2010 ◽  
Author(s):  
Redouane Elkamhi ◽  
Denitsa Stefanova
Keyword(s):  
Portfolio Selection ◽  
Tail Dependence ◽  
Dynamic Correlation

scholarly journals A Maximal Tail Dependence-Based Clustering Procedure for Financial Time Series and Its Applications in Portfolio Selection

Risks ◽  
2018 ◽  
Vol 6 (4) ◽  
pp. 115 ◽  
Author(s):  
Xin Liu ◽  
Jiang Wu ◽  
Chen Yang ◽  
Wenjun Jiang
Keyword(s):  
Time Series ◽  
Portfolio Selection ◽  
Financial Time Series ◽  
Tail Dependence ◽  
Simulation Studies ◽  
Lower Tail ◽  
Financial Time ◽  
The Matrix ◽  
Mean Variance Portfolio ◽  
Mean Variance

In this paper, we propose a clustering procedure of financial time series according to the coefficient of weak lower-tail maximal dependence (WLTMD). Due to the potential asymmetry of the matrix of WLTMD coefficients, the clustering procedure is based on a generalized weighted cuts method instead of the dissimilarity-based methods. The performance of the new clustering procedure is evaluated by simulation studies. Finally, we illustrate that the optimal mean-variance portfolio constructed based on the resulting clusters manages to reduce the risk of simultaneous large losses effectively.

scholarly journals Exploring the Highway Icing Risk: Considering the Dynamic Dependence of Icing-Inducing Factors

2021 ◽  
Author(s):  
Qiang Liu ◽  
Aiping Tang ◽  
Zhongyue Wang ◽  
Buyue Zhao
Keyword(s):  
Joint Distribution ◽  
Tail Dependence ◽  
Copula Function ◽  
Copula Theory ◽  
Dynamic Correlation ◽  
Upper Tail Dependence ◽  
Case Application ◽  
Inducing Factors ◽  
And Control ◽  
Precipitation And Temperature

Abstract In terms of the dynamic dependence between icing-inducing factors, this study is to explore the risk distribution of highways when icing events occur in the study area. A joint distribution considering the dynamic correlation of inducing factors was first constructed employing the Copula theory, which then yielded the possibility of icing events. Meanwhile, hazard zones and intensities of icing were proposed under different exceeding probabilities. After finishing the vulnerability analysis of highways, the risk matrix was used to conduct the icing risk for the highway, which was then applied to the construction of the risk zoning map. The results showed that there was an upper-tail dependence between extreme precipitation and temperature in the study area in winter, which could be well captured by the Gumbel Copula function. Indeed, the constructed joint distribution can express the possibility of icing under different intensities of precipitation and temperature. Besides, the highway with the tallest vulnerability in the study area was the Hegang-Yichun line. The case application showed that during March 2020, the traffic lines with a high icing risk were distributed around Fujin, Jiamusi, Hegang, and Qitaihe cities, and the Hegang section of the Hegang-Yichun line was at the highest icing risk. The low-risk lines were concentrated in the western part of the study area. This study is of great significance for the prevention and control of ice-snow disasters on the highway in cold regions.

AN APPROACH TO THE PROBLEM OF PORTFOLIO SELECTION

1996 ◽  
Vol 01 (01) ◽  
Author(s):  
T. Lorenzana ◽  
N. Márquez ◽  
S. Sardà
Keyword(s):  
Portfolio Selection
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