Abstract
We demonstrate a means of incorporating asymmetric dependency structures during the portfolio construction process using copula functions. Specifically, we investigate how asymmetric return dependencies affect the efficient frontier and subsequent portfolio performance under a dynamic rebalancing framework assuming normally distributed marginal returns.
| Original language | English |
|---|---|
| Pages (from-to) | 143 |
| Number of pages | 180 |
| Journal | The Australian Actuarial Journal |
| Publication status | Published - 2009 |