Bernstein Approximations to the Copula Function and Portfolio Optimization
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Authors
Sancetta, Alessio
Satchell, Stephen E.
Publication Date
2004-06-16Series
Cambridge Working Papers in Economics
Publisher
Faculty of Economics
Language
en_GB
Type
Working Paper
Metadata
Show full item recordCitation
Sancetta, A., & Satchell, S. E. (2004). Bernstein Approximations to the Copula Function and Portfolio Optimization. https://doi.org/10.17863/CAM.5444
Abstract
The copula function is considered within the context of financial multivariate data sets that are not normally distributed. The Bernstein polynomial approximation to copulae is given and motivated by its desirable properties. The multivariate convergence properties are analysed. The concept of Bernstein copula is introduced as a generalisation of some bivariate and higher dimensional families of copulae. Statistical properties of the Bernstein copula are studied together with implementation issues related to portfolio theory and expected utility optimisation.
Keywords
Classification-JEL: G11, C49, copulae, Bernstein polynomials, approximation theory, portfolio
Identifiers
This record's DOI: https://doi.org/10.17863/CAM.5444
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