A semi-parametric approach to risk management

DOI10.1088/1469-7688/3/6/302zbMath1405.91537OpenAlexW2073273904MaRDI QIDQ4647288

Rüdiger Kiesel, Rafael Schmidt, Nicholas H. Bingham

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1469-7688/3/6/302

zbMATH Keywords

tailsportfolio selectionrisk managementsemi-parametric approachnormal variance-mean mixtures

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (11)

Systematic scenario selection: stress testing and the nature of uncertainty ⋮ Regular variation and probability: The early years ⋮ Semiparametric estimation in the normal variance-mean mixture model ⋮ Extremes of asymptotically spherical and elliptical random vectors ⋮ Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions ⋮ Two nonparametric approaches to mean absolute deviation portfolio selection model ⋮ Inference for vast dimensional elliptical distributions ⋮ Stochastic ordering of Gini indexes for multivariate elliptical risks ⋮ Estimation of α-Stable Sub-Gaussian Distributions for Asset Returns ⋮ Modelling dynamic portfolio risk using risk drivers of elliptical processes ⋮ Estimating the tail-dependence coefficient: properties and pitfalls

Uses Software

• R
• S-PLUS
• KernSmooth

Cites Work

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