{"id":"https://openalex.org/W4240378528","doi":"https://doi.org/10.1504/ijcsm.2020.111708","title":"Multidimensional portfolio risk measurement: a mixed copula approach","display_name":"Multidimensional portfolio risk measurement: a mixed copula approach","publication_year":2020,"publication_date":"2020-01-01","ids":{"openalex":"https://openalex.org/W4240378528","doi":"https://doi.org/10.1504/ijcsm.2020.111708"},"language":"en","primary_location":{"id":"doi:10.1504/ijcsm.2020.111708","doi":"https://doi.org/10.1504/ijcsm.2020.111708","is_oa":false,"landing_page_url":"https://doi.org/10.1504/ijcsm.2020.111708","pdf_url":null,"source":{"id":"https://openalex.org/S84141356","display_name":"International Journal of Computing Science and Mathematics","issn_l":"1752-5055","issn":["1752-5055","1752-5063"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core","dongbi-c","norway-1","poland-40","russia-white-list-3"],"host_organization":"https://openalex.org/P4310317825","host_organization_name":"Inderscience Publishers","host_organization_lineage":["https://openalex.org/P4310317825"],"host_organization_lineage_names":["Inderscience Publishers"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Computing Science and Mathematics","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":null,"display_name":"Wen Li Cai","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I25757504","display_name":"China University of Mining and Technology","ror":"https://ror.org/01xt2dr21","country_code":"CN","type":"education","lineage":["https://openalex.org/I25757504"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Wen Li Cai","raw_affiliation_strings":["Department of Mathematics, China University of Mining and Technology, Ding No.11 Xueyuan Road, Haidian District, Beijing, 100083, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics, China University of Mining and Technology, Ding No.11 Xueyuan Road, Haidian District, Beijing, 100083, China","institution_ids":["https://openalex.org/I25757504"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5100389798","display_name":"Na Liu","orcid":"https://orcid.org/0000-0003-1387-8501","observed_orcids":["https://orcid.org/0000-0003-1387-8501"]},"institutions":[{"id":"https://openalex.org/I25757504","display_name":"China University of Mining and Technology","ror":"https://ror.org/01xt2dr21","country_code":"CN","type":"education","lineage":["https://openalex.org/I25757504"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Na Liu","raw_affiliation_strings":["Department of Mathematics, China University of Mining and Technology, Ding No.11 Xueyuan Road, Haidian District, Beijing, 100083, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics, China University of Mining and Technology, Ding No.11 Xueyuan Road, Haidian District, Beijing, 100083, China","institution_ids":["https://openalex.org/I25757504"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5112586290","display_name":"Yu Xuan Wu","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I25757504","display_name":"China University of Mining and Technology","ror":"https://ror.org/01xt2dr21","country_code":"CN","type":"education","lineage":["https://openalex.org/I25757504"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Yu Xuan Wu","raw_affiliation_strings":["Department of Mathematics, China University of Mining and Technology, Ding No.11 Xueyuan Road, Haidian District, Beijing, 100083, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics, China University of Mining and Technology, Ding No.11 Xueyuan Road, Haidian District, Beijing, 100083, China","institution_ids":["https://openalex.org/I25757504"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5111649681","display_name":"Xiang Dong Liu","orcid":"https://orcid.org/0000-0001-5262-0031","observed_orcids":["https://orcid.org/0000-0001-5262-0031"]},"institutions":[{"id":"https://openalex.org/I25757504","display_name":"China University of Mining and Technology","ror":"https://ror.org/01xt2dr21","country_code":"CN","type":"education","lineage":["https://openalex.org/I25757504"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"Xiang Dong Liu","raw_affiliation_strings":["Department of Mathematics, China University of Mining and Technology, Ding No.11 Xueyuan Road, Haidian District, Beijing, 100083, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics, China University of Mining and Technology, Ding No.11 Xueyuan Road, Haidian District, Beijing, 100083, China","institution_ids":["https://openalex.org/I25757504"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":[],"corresponding_institution_ids":["https://openalex.org/I25757504"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.40216956,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"12","issue":"3","first_page":"228","last_page":"228"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9775000214576721,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9775000214576721,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.020899999886751175,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.00019999999494757503,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/portfolio-risk-measurement","display_name":"portfolio risk measurement","score":0.9490000009536743},{"id":"https://openalex.org/keywords/mixed-copula","display_name":"mixed copula","score":0.8920000195503235},{"id":"https://openalex.org/keywords/archimedean-copulas","display_name":"Archimedean copulas","score":0.9179999828338623},{"id":"https://openalex.org/keywords/nonlinear-dependence","display_name":"nonlinear dependence","score":0.4779999852180481},{"id":"https://openalex.org/keywords/value-at-risk","display_name":"value at risk","score":0.8790000081062317},{"id":"https://openalex.org/keywords/conditional-value-at-risk","display_name":"conditional value at risk","score":0.9980000257492065},{"id":"https://openalex.org/keywords/minimum-risk-portfolio","display_name":"minimum risk portfolio","score":0.6840000152587891}],"concepts":[{"id":"https://openalex.org/C17618745","wikidata":"https://www.wikidata.org/wiki/Q207509","display_name":"Copula (linguistics)","level":2,"score":0.8365041017532349},{"id":"https://openalex.org/C2779922397","wikidata":"https://www.wikidata.org/wiki/Q5014755","display_name":"CVAR","level":4,"score":0.7875076532363892},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6057097315788269},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6026367545127869},{"id":"https://openalex.org/C2777606061","wikidata":"https://www.wikidata.org/wiki/Q16991115","display_name":"Tail dependence","level":3,"score":0.5218204855918884},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.45290452241897583},{"id":"https://openalex.org/C165216359","wikidata":"https://www.wikidata.org/wiki/Q670653","display_name":"Marginal distribution","level":3,"score":0.4491743743419647},{"id":"https://openalex.org/C5496284","wikidata":"https://www.wikidata.org/wiki/Q5420856","display_name":"Expected shortfall","level":3,"score":0.42425358295440674},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.38395956158638},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.3329485058784485},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.30114084482192993},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.24139630794525146},{"id":"https://openalex.org/C161584116","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate statistics","level":2,"score":0.20728960633277893},{"id":"https://openalex.org/C122123141","wikidata":"https://www.wikidata.org/wiki/Q176623","display_name":"Random variable","level":2,"score":0.09521341323852539},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.09099525213241577}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1504/ijcsm.2020.111708","doi":"https://doi.org/10.1504/ijcsm.2020.111708","is_oa":false,"landing_page_url":"https://doi.org/10.1504/ijcsm.2020.111708","pdf_url":null,"source":{"id":"https://openalex.org/S84141356","display_name":"International Journal of Computing Science and Mathematics","issn_l":"1752-5055","issn":["1752-5055","1752-5063"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core","dongbi-c","norway-1","poland-40","russia-white-list-3"],"host_organization":"https://openalex.org/P4310317825","host_organization_name":"Inderscience Publishers","host_organization_lineage":["https://openalex.org/P4310317825"],"host_organization_lineage_names":["Inderscience Publishers"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Computing Science and Mathematics","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"display_name":"Industry, innovation and infrastructure","score":0.6100000143051147,"id":"https://metadata.un.org/sdg/9"}],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W4316167276","https://openalex.org/W2002736235","https://openalex.org/W2586128247","https://openalex.org/W2263939762","https://openalex.org/W2147524214","https://openalex.org/W3124201577","https://openalex.org/W2133157284","https://openalex.org/W2937017304","https://openalex.org/W4233879662","https://openalex.org/W2461883503"],"abstract_inverted_index":{"It":[0],"is":[1,28,37,69,95,129],"an":[2,118],"increasingly":[3],"challenging":[4],"task":[5],"to":[6,71,97,109,131],"explore":[7],"the":[8,24,34,40,62,76,80,99,103,110,114,133,138],"risk":[9,19],"measurement":[10,20],"for":[11],"multidimensional":[12],"portfolios":[13],"with":[14,66,113],"nonlinear":[15],"correlative":[16],"assets.":[17],"A":[18],"scheme":[21],"based":[22],"on":[23,121],"mixed":[25,35,81],"copula":[26,36,53],"theory":[27],"proposed":[29],"in":[30,54,127],"this":[31],"paper,":[32],"where":[33],"constructed":[38],"by":[39,85],"linear":[41],"combination":[42],"of":[43,58,79,102,137],"three":[44],"single":[45,52],"Archimedean":[46],"copulas,":[47],"embodying":[48],"greater":[49],"flexibility":[50],"than":[51],"connecting":[55],"different":[56],"types":[57],"marginal":[59,73],"distributions.":[60],"In":[61],"scenario,":[63],"ARMA-EGARCH":[64],"model":[65],"t":[67],"innovation":[68],"employed":[70],"fit":[72],"distributions,":[74],"and":[75,91,106,135],"parameter":[77],"values":[78,101],"copulas":[82],"are":[83],"inferred":[84],"maximum":[86],"likelihood":[87],"estimation":[88],"(MLE)":[89],"method,":[90],"interior":[92],"point":[93],"algorithm":[94],"used":[96],"calculate":[98],"extreme":[100],"MLE,":[104],"VaR":[105],"CVaR,":[107],"corresponding":[108],"optimal":[111],"portfolio":[112],"minimum":[115],"risk.":[116],"Finally,":[117],"empirical":[119],"study":[120],"five":[122],"international":[123],"stock":[124],"market":[125],"indexes":[126],"Europe":[128],"performed":[130],"verify":[132],"feasibility":[134],"effectiveness":[136],"scheme.":[139]},"counts_by_year":[],"updated_date":"2026-10-09T09:14:12.587421","created_date":"2025-10-10T00:00:00"}