ESTIMASI CONDITIONAL VALUE AT RISK (CVaR) PADA PORTOFOLIO MENGGUNAKAN COPULA BERSYARAT [PDF]
, 2018 AbstrakRisiko dapat diartikan sebagai tingkat kerugian yang dapat dialami investor dalam berinvestasi. Conditional Value at Risk (CVaR) merupakan salah satu metode untuk mengestimasi risiko.
Retno Subekti, Intan Lisnawati ,
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New Bivariate Copulas via Lomax Distribution Generated Distortions
AppliedMathWe develop a framework for creating distortion functions that are used to construct new bivariate copulas. It is achieved by transforming non-negative random variables with Lomax-related distributions.
Fadal Abdullah Ali Aldhufairi +1 more
doaj +1 more source
Spatial Dependence in Wind and Optimal Wind Power Allocation: A Copula Based Analysis [PDF]
The investment decision on the placement of wind turbines is, neglecting legal formalities, mainly driven by the aim to maximize the expected annual energy production of single turbines.
Schnieders, Julius, Grothe, Oliver
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Has CEPA Increased Stock Market Dependence between Hong Kong and China? The Application of Conditional Copula Technique [PDF]
, 2014 We investigate a possible change in conditional dependence between the Hong Kong and Chinese stock markets as a result of the Closer Economic Partnership Arrangement (CEPA) that took effect in 2004.
Chuang, Chung-Chu +1 more
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Optimasi Portofolio Black-litterman Dengan Pendekatan Dependensi Clayton Copula [PDF]
Optimasi portofolio bertujuan menyeimbangkan risiko dan return. Model Black-Litterman mempertimbangkan pandangan investor namun belum menangkap ketergantungan ekstrem antar aset.
Budiarto, Yudhistira Rizky
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Copulas in finance and insurance [PDF]
Copulas provide a potential useful modeling tool to represent the dependence structure among variables and to generate joint distributions by combining given marginal distributions. Simulations play a relevant role in finance and insurance. They are used
Elisa M. Molanes, Rosario Romera
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Analysis of Rainfall Levels and Many Rainy Days in 2020 – 2022 using Copula Clayton Archimedian Modeling [PDF]
Rainfall is an important parameter in various fields such as agriculture, hydrology, civil engineering, and disaster management. In the Sampali region of North Sumatra, an accurate understanding of rainfall patterns and characteristics is crucial for ...
Tanjung, Rifky Aulia Arvanza
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Pemodelan Dependensi Variabel Non Gaussian menggunakan Copula [PDF]
, 2016 Analisis dependensi dalam statistika biasanya memerlukan asumsi bahwa data berdistribusi normal. Namun dalam kenyataannya asumsi kenormalan sering tidak terpenuhi seperti data bidang Klimatologi.
Ristiani, Yulia Fauzia
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BarekengStocks are one of the most popular financial market instruments. On the other hand, stocks are an investment instrument that is widely chosen by investors because stocks are able to provide attractive profit levels.
Darwis Darwis +2 more
doaj +1 more source
A Copula-VAR-X Approach for Industrial Production Modelling and Forecasting [PDF]
World economies, and especially European ones, have become strongly interconnected in the last decades and a joint modelling is required. We propose here the use of Copulas to build flexible multivariate distributions, since they allow for a rich ...
Dean Fantazzini +4 more
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