Flávio Ziegelman

Flávio Ziegemann

Rua Washington Luiz, 855. Centro

Porto Alegre - RS, 90010-460

Brazil

SCHOLARLY PAPERS

2

DOWNLOADS

550

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Mixed Copula Pairs Trading Strategy on the S&P 500

Number of pages: 31 Posted: 22 Nov 2017 Last Revised: 24 Feb 2019
Federal University of Rio Grande do Sul (UFRGS) - Statistics Department, Flávio Ziegemann and Universidade Federal do Rio Grande do Sul (UFRGS)
Downloads 475 (59,668)

Abstract:

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Pairs Trading, Copula, Distance Long-Short, Quantitative Strategies, S&P 500, Statistical Arbitrage.

2.

Robust Portfolio Optimization with Multivariate Copulas: A Worst-Case CVaR Approach

Number of pages: 20 Posted: 28 Nov 2017 Last Revised: 07 Aug 2018
Fernando B. Sabino da Silva and Flávio Ziegelman
Federal University of Rio Grande do Sul (UFRGS) - Statistics Department and Flávio Ziegemann
Downloads 75 (319,488)

Abstract:

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Asset Allocation; Finance; Gaussian Copula; Linear Programming; Mixed Copula; Risk Management; S&P 500; Scenarios; WCCVaR