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The paper deals with modeling of mutual dependencies among financial assets. Its aim is to investigate the impact of different copula assumptions on optimal portfolios, when CVaR optimization is used. Strategic asset allocation perspective is supposed. It is demonstrated that copula functions enable us to separate the modeling of dependency features of financial assets from the modeling of marginal distribution characteristics, in the context of practical portfolio construction tasks. Thedoi:10.7327/cerei.2009.12.04 fatcat:d22th4uvonbohbcri4eg35znve