Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework (Q4911226): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Changed an Item |
||
| Property / describes a project that uses | |||
| Property / describes a project that uses: QRM / rank | |||
Normal rank | |||
Revision as of 18:46, 29 February 2024
scientific article; zbMATH DE number 6144872
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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)
0 references
14 March 2013
0 references
portfolio optimization
0 references
robust optimization
0 references
asset allocation
0 references
risk management
0 references
multivariate generalized hyperbolic distribution
0 references
conditional value at risk
0 references
worst case conditional value at risk
0 references
