A Stein type lemma for the multivariate generalized hyperbolic distribution

DOI10.1016/J.EJOR.2017.03.008zbMath1403.91265OpenAlexW2554984958WikidataQ124802595 ScholiaQ124802595MaRDI QIDQ1753607

Steven Vanduffel, Jing Yao

Publication date: 29 May 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2017.03.008

zbMATH Keywords

utility functiondecision analysismean-variance optimizationStein's lemmamultivariate generalized hyperbolic distribution (MGH)

Mathematics Subject Classification ID

Decision theory (91B06) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05) Stochastic models in economics (91B70) Utility theory (91B16)

Related Items (7)

Stein's lemma for truncated elliptical random vectors ⋮ On the property of multivariate generalized hyperbolic distribution and the Stein-type inequality ⋮ Stein’s Lemma for generalized skew-elliptical random vectors ⋮ On bounds for the mode and median of the generalized hyperbolic and related distributions ⋮ Cumulative Prospect Theory with Generalized Hyperbolic Skewed $t$ Distribution ⋮ Minimum Rényi entropy portfolios ⋮ Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior

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