Ацканов_резюме_ENG (1137943), страница 7
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Thirdly, it is quite interesting to conduct astudy that would allow developing a procedure for optimizing a portfolio not by asset class, butby style, so that at each particular point in time the portfolio would be concentrated in the mostpromising investment styles. Finally, it is logical to expand the example of the rotated Gumbelcopula to other copula models in order to reveal the most effective one for the purpose ofstylized portfolio optimization.The main results of the dissertation were published in the following articlesArticles published in leading peer-reviewed scientific journals recommended by the HigherAttestation Commission of the Ministry of Education and Science of the Russian Federation:Atskanov I.A., 2017.
Stylized optimization of stock portfolios with the help of copula. FinancialManagement, 5, pp. 97 - 107Atskanov I.A., 2015. Dynamic optimization of the investment portfolio with the use of pairedcopulas on the example of the main European stock markets. Applied Econometrics, 4(40), pp.84-105.Atskanov I.A., 2016. Application of GAS-copulas for optimization of the investment portfolio ofshares of Russian companies. Finances and credit, 704(32), pp. 25-37..
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