Full article: Bernstein copula characteristic function Skip to Main Content Taylor and Francis
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A finite order multivariate Hermite polynomial expansion, as an approximation of a joint
density function, can handle complex correlation structures. However, it does not construct …

In this paper we address the problem of robust portfolio allocation under uncertainty with
respect to the dependence between risky asset returns and for an ambiguity averse investor …

In this thesis, we propose a nonparametric Bernstein copula model to address the issue of
approximating copulas flexibly and accurately. The model is penalized using the reciprocal …