{ "item_title" : "The Use of Copulas in Asset Allocation", "item_author" : [" Luca Riccetti "], "item_description" : "This study critically examines the limitations of the mean-variance criterion, developed by Markowitz, in portfolio allocation-particularly when returns deviate from Normality. Since expected utility cannot always be accurately represented under non-Normal return distributions, the author explores whether the loss of optimality in using the mean-variance approach is significant or negligible. Through a comparative analysis of optimal portfolio compositions, the research evaluates the cost of the Markowitz allocation versus strategies based on copula models (Normal, Student-t, Clayton, Gumbel, Frank, mixed, and Canonical Vine copulas). Portfolios of two or more assets and various index combinations are used to assess whether copula-based models enhance investor utility and returns. The study also investigates whether incorporating higher-order moments and co-moments (up to the fourth) can approximate copula-based optimization. This research is particularly relevant for investment fund asset managers and academic researchers seeking advanced tools in financial econometrics.", "item_img_path" : "https://covers4.booksamillion.com/covers/bam/6/20/845/000/6208450004_b.jpg", "price_data" : { "retail_price" : "71.00", "online_price" : "71.00", "our_price" : "71.00", "club_price" : "71.00", "savings_pct" : "0", "savings_amt" : "0.00", "club_savings_pct" : "0", "club_savings_amt" : "0.00", "discount_pct" : "10", "store_price" : "" } }

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