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Shape-based scenario generation using copulas

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Shape-based scenario generation using copulas. / Kaut, Michal; Wallace, Stein W.
In: Computational Management Science, Vol. 8, No. 1-2, 04.2011, p. 181-199.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Kaut, M & Wallace, SW 2011, 'Shape-based scenario generation using copulas', Computational Management Science, vol. 8, no. 1-2, pp. 181-199. https://doi.org/10.1007/s10287-009-0110-y

APA

Kaut, M., & Wallace, S. W. (2011). Shape-based scenario generation using copulas. Computational Management Science, 8(1-2), 181-199. https://doi.org/10.1007/s10287-009-0110-y

Vancouver

Kaut M, Wallace SW. Shape-based scenario generation using copulas. Computational Management Science. 2011 Apr;8(1-2):181-199. doi: 10.1007/s10287-009-0110-y

Author

Kaut, Michal ; Wallace, Stein W. / Shape-based scenario generation using copulas. In: Computational Management Science. 2011 ; Vol. 8, No. 1-2. pp. 181-199.

Bibtex

@article{fd96eec764f54e1ebf3330c7244fd3de,
title = "Shape-based scenario generation using copulas",
abstract = "The purpose of this article is to show how the multivariate structure (the “shape” of the distribution) can be separated from the marginal distributions when generating scenarios. To do this we use the copula. As a result, we can define combined approaches that capture shape with one method and handle margins with another. In some cases the combined approach is exact, in other cases, the result is an approximation. This new approach is particularly useful if the shape is somewhat peculiar, and substantially different from the standard normal elliptic shape. But it can also be used to obtain the shape of the normal but with margins from different distribution families, or normal margins with for example tail dependence in the multivariate structure. We provide an example from portfolio management. Only one-period problems are discussed.",
author = "Michal Kaut and Wallace, {Stein W}",
year = "2011",
month = apr,
doi = "10.1007/s10287-009-0110-y",
language = "English",
volume = "8",
pages = "181--199",
journal = "Computational Management Science",
issn = "1619-6988",
publisher = "Springer Verlag",
number = "1-2",

}

RIS

TY - JOUR

T1 - Shape-based scenario generation using copulas

AU - Kaut, Michal

AU - Wallace, Stein W

PY - 2011/4

Y1 - 2011/4

N2 - The purpose of this article is to show how the multivariate structure (the “shape” of the distribution) can be separated from the marginal distributions when generating scenarios. To do this we use the copula. As a result, we can define combined approaches that capture shape with one method and handle margins with another. In some cases the combined approach is exact, in other cases, the result is an approximation. This new approach is particularly useful if the shape is somewhat peculiar, and substantially different from the standard normal elliptic shape. But it can also be used to obtain the shape of the normal but with margins from different distribution families, or normal margins with for example tail dependence in the multivariate structure. We provide an example from portfolio management. Only one-period problems are discussed.

AB - The purpose of this article is to show how the multivariate structure (the “shape” of the distribution) can be separated from the marginal distributions when generating scenarios. To do this we use the copula. As a result, we can define combined approaches that capture shape with one method and handle margins with another. In some cases the combined approach is exact, in other cases, the result is an approximation. This new approach is particularly useful if the shape is somewhat peculiar, and substantially different from the standard normal elliptic shape. But it can also be used to obtain the shape of the normal but with margins from different distribution families, or normal margins with for example tail dependence in the multivariate structure. We provide an example from portfolio management. Only one-period problems are discussed.

U2 - 10.1007/s10287-009-0110-y

DO - 10.1007/s10287-009-0110-y

M3 - Journal article

VL - 8

SP - 181

EP - 199

JO - Computational Management Science

JF - Computational Management Science

SN - 1619-6988

IS - 1-2

ER -