Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization

DOI10.1007/S10287-018-0306-0OpenAlexW2801720423MaRDI QIDQ1722750

Edit Rroji, Lorenzo Mercuri, Asmerilda Hitaj

Publication date: 18 February 2019

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-018-0306-0

zbMATH Keywords

sensitivity analysisportfolio optimizationmixed tempered stable distribution

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Related Items (2)

The skew normal multivariate risk measurement framework ⋮ Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model

Uses Software

• AnDarl
• PricingMixedTS

Cites Work

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• RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Normal Variance-Mean Mixtures and z Distributions
• Mixed tempered stable distribution
• The Variance Gamma Process and Option Pricing
• A Test of Goodness of Fit

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