Bernstein Approximations to the Copula Function and Portfolio Optimization

Alessio Sancetta and S. E. Satchell

Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge

Abstract: The copula function is considered within the context of financial multivariate data sets that are not normally distributed. The Bernstein polynomial approximation to copulae is given and motivated by its desirable properties. The multivariate convergence properties are analysed. The concept of Bernstein copula is introduced as a generalisation of some bivariate and higher dimensional families of copulae. Statistical properties of the Bernstein copula are studied together with implementation issues related to portfolio theory and expected utility optimisation.

Keywords: copulae; Bernstein polynomials; approximation theory; portfolio (search for similar items in EconPapers)
JEL-codes: C49 G11 (search for similar items in EconPapers)
Pages: 47
Date: 2001-06
New Economics Papers: this item is included in nep-fin
Note: EM
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:cam:camdae:0105

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