Growing semantic vines for robust asset allocation

• Main Authors: Xing, Frank Z., Cambria, Erik, Welsch, Roy E.
• Other Authors: School of Computer Science and Engineering
• Format: Article
• Language: English
• Published: 2021
• Subjects: Engineering::Computer science and engineering; Vine; Dependence Modeling
• Online Access: https://hdl.handle.net/10356/151362
• Institution: Nanyang Technological University

The vine structure has been widely studied as a graphical representation for high-dimensional dependence modeling, depicting complicated probability density functions, and robust correlation estimation. However, specification of the best vine structure is challenging as the number of candidate vine...