Extension of dependence properties to semi-copulas and applications to the mean--variance model

Authors:
Roy Cerqueti;Fabio Spizzichino
Affiliations:
Department of Economics and Law, University of Macerata, Italy;Department of Mathematics, Sapienza University of Rome, Piazzale Aldo Moro, 5, 00185 Rome, Italy
Venue:
Fuzzy Sets and Systems
Year:
2013

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Abstract

This paper deals with the construction of a semi-copula D, not necessarily exchangeable, whose ''dependence'' properties translate remarkable aspects of investors' behavior. To achieve this aim, we propose a new version of the standard mean-variance framework. For our purpose, a particular class of utility functions G has been introduced. The induced transformation of G is considered and the definition of semi-copula D hinges on the family of the indifference curves of G.