Browsing by Subject "Copulas"

Now showing 1 - 2 of 2
  • Thumbnail Image
    Publication
    Open Access
    A study on multi-level redundancy allocation in coherent systems formed by modules
    (Elsevier, 2021-09) Torrado, N.; Arriaza, A.; Navarro, J.; Estadística e Investigación Operativa
    The present work studies the effect of redundancies on the reliability of coherent systems formed by modules. Different redundancies at components’ level versus redundancies at modules’ level are investigated, including active and standby redundancies. For that, a new model is presented. This model takes into account the dependence among the components, as well as, the dependence among the modules of the system. In both cases, the dependence structure is modeled by copula functions. Several results are provided to compare systems consisting of heterogeneous components. The comparisons are distribution-free with respect to the components. In particular, we consider the cases when the components in the modules are independent and connected (or not) in series, and when the components are dependent within the modules. In both cases, it is assumed that the modules can be dependent. Furthermore, the case in which the components in each module are identically distributed (dependent or independent) is also considered. We illustrate the theoretical results with several examples.
  • Thumbnail Image
    Publication
    Open Access
    A model based on Copula Theory for sustainable and social responsible investments
    (2016) Bilbao-Terol, Amelia; Arenas-Parra, Mar; Cañal-Fernández, Verónica
    In this paper, a model is proposed that allows us to obtain a portfolio made up of sustainable and socially responsible (SR) investment funds. This portfolio tracks the one that investors might have chosen if they had not taken into account social, ethical and ecological (SEE) issues in their investment decisions. Therefore, in the first stage, reference portfolio exclusively made up of conventional funds is obtained. For the construction of the conventional portfolio the Prospect Theory has been used: net profits as the financial objective and error function as the utility function. In the second stage, a portfolio consisting exclusively of SR-funds is built. To do so, the reference portfolio is used as an ideal point, with the objectives of the SR-investor being the relative wealth with respect to the reference portfolio and the SEE quality of the portfolio. The relative wealth will be manipulated by a downside-risk measure, the Conditional Value at Risk (CVaR), and the periodic values of the portfolio. The second objective is the SR Quality of the portfolio, taking into account the personal values of a particular investor. This is built using Fuzzy Set Theory tools. We are faced with a multi-objective problem which is solved by using Goal Programming methodology. The estimation of both conventional and SR markets has been carried out by a semi-parametric approach by using the Copula Theory for modeling the dependence structure of the assets’ returns. The approach has been applied to a set of 38 conventional and 12 ethical funds domiciled in Spain.