Gijbels, Irène; Herrmann, Klaus Optimal expected-shortfall portfolio selection with copula-induced dependence. (English) Zbl 1418.91469 Appl. Math. Finance 25, No. 1, 66-106 (2018). MSC: 91G10 62P05 62H05 PDFBibTeX XMLCite \textit{I. Gijbels} and \textit{K. Herrmann}, Appl. Math. Finance 25, No. 1, 66--106 (2018; Zbl 1418.91469) Full Text: DOI
Gijbels, Irène; Sznajder, Dominik Testing tail monotonicity by constrained copula estimation. (English) Zbl 1284.62313 Insur. Math. Econ. 52, No. 2, 338-351 (2013). MSC: 62H05 62G10 62H20 PDFBibTeX XMLCite \textit{I. Gijbels} and \textit{D. Sznajder}, Insur. Math. Econ. 52, No. 2, 338--351 (2013; Zbl 1284.62313) Full Text: DOI