A NOTE ON 'IMPROVED FRECHET BOUNDS AND MODEL-FREE PRICING OF MULTI-ASSET OPTIONS' BY TANKOV (2011)

被引：18

作者：

Bernard, Carole ^{[1
]}

Jiang, Xiao ^{[1
]}

Vanduffel, Steven ^{[2
]}

机构：

[1] Univ Waterloo, Dept Stat & Actuarial Sci, Waterloo, ON N2L 3G1, Canada

[2] Vrije Univ Brussel, Fac Econ, B-1050 Elsene, Belgium

来源：

JOURNAL OF APPLIED PROBABILITY | 2012年 / 49卷 / 03期

基金：

加拿大自然科学与工程研究理事会;

关键词：

Copula; Frechet-Hoeffding bound; quasi-copula; optimal portfolio selection;

D O I：

10.1239/jap/1346955339

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Tankov (2011) improved the Frechet bounds for a bivariate copula when its values on a compact subset of [0, 1](2) are given. He showed that the best possible bounds are quasi-copulas and gave a sufficient condition for these bounds to be copulas. In this note we give weaker sufficient conditions to ensure that the bounds are copulas. We also show how this can be useful in portfolio selection. It turns out that finding a copula as a lower bound plays a key role in determining optimal investment strategies explicitly for investors with some type of state-dependent constraints.

引用

页码：866 / 875

页数：10

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