Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework (Q4911226): Difference between revisions

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Latest revision as of 06:19, 6 July 2024

scientific article; zbMATH DE number 6144872
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English
Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework
scientific article; zbMATH DE number 6144872

    Statements

    Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework (English)
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    14 March 2013
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    portfolio optimization
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    robust optimization
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    asset allocation
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    risk management
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    multivariate generalized hyperbolic distribution
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    conditional value at risk
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    worst case conditional value at risk
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