44 citations · 54 across the 4 of their papers we have counts for
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q-fin.RM2015★ 10 cited
Risk aggregation with empirical margins: Latin hypercubes, empirical copulas, and convergence of sum distributions
Georg Mainik
This paper studies convergence properties of multivariate distributions constructed by endowing empirical margins with a copula. This setting includes Latin Hypercube Sampling with…
q-fin.PM2015★ 44 cited
Portfolio optimization for heavy-tailed assets: Extreme Risk Index vs. Markowitz
Georg Mainik, Georgi Mitov, Ludger Rüschendorf
Using daily returns of the S&P 500 stocks from 2001 to 2011, we perform a backtesting study of the portfolio optimization strategy based on the extreme risk index (ERI). This metho…