{"product_id":"the-use-of-copulas-in-asset-allocation-9786208450007","title":"The Use of Copulas in Asset Allocation","description":"\u003cp\u003e • Author(s): Luca Riccetti\u003cbr\u003e • Publisher: LAP Lambert Academic Publishing\u003cbr\u003e • Publisher Imprint: LAP Lambert Academic Publishing\u003cbr\u003e • BISAC: General\u003c\/p\u003e\u003cp\u003eThis study critically examines the limitations of the mean-variance criterion, developed by Markowitz, in portfolio allocation-particularly when returns deviate from Normality. Since expected utility cannot always be accurately represented under non-Normal return distributions, the author explores whether the loss of optimality in using the mean-variance approach is significant or negligible. Through a comparative analysis of optimal portfolio compositions, the research evaluates the cost of the Markowitz allocation versus strategies based on copula models (Normal, Student-t, Clayton, Gumbel, Frank, mixed, and Canonical Vine copulas). Portfolios of two or more assets and various index combinations are used to assess whether copula-based models enhance investor utility and returns. The study also investigates whether incorporating higher-order moments and co-moments (up to the fourth) can approximate copula-based optimization. This research is particularly relevant for investment fund asset managers and academic researchers seeking advanced tools in financial econometrics.\u003c\/p\u003e","brand":"Atlantic Books","offers":[{"title":"Paperback","offer_id":46397496852631,"sku":"9786208450007","price":5875.0,"currency_code":"INR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0666\/3471\/1191\/files\/9786208450007.webp?v=1769041223","url":"https:\/\/atlanticbooks.com\/products\/the-use-of-copulas-in-asset-allocation-9786208450007","provider":"Atlantic Books","version":"1.0","type":"link"}