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DTSTAMP:20210916T132449Z
LOCATION:Jean-Jacques Rousseau
DTSTART;TZID=Europe/Stockholm:20210706T120000
DTEND;TZID=Europe/Stockholm:20210706T123000
UID:submissions.pasc-conference.org_PASC21_sess131_msa262@linklings.com
SUMMARY:Copula Process Asset Pricing
DESCRIPTION:Minisymposium\n\nCopula Process Asset Pricing\n\nPasricha, Fil
 ipovic\n\nWhen modeling multivariate financial market risks, one has to fa
 ce the stylized facts that financial data is inherently non-stationary and
  non-Gaussian. We address this stylized fact by a novel modeling approach.
  We model joint conditional asset return distributions, given observable f
 inancial features, by a copula process. We then perform two tasks: predict
  asset returns using Bayesian inference, and select optimal portfolios.\n\
 nDomain: CS and Math, Emerging Applications
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