COHERENT RISK MEASURES AND NORMAL MIXTURE DISTRIBUTIONS WITH APPLICATIONS IN PORTFOLIO OPTIMIZATION
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Publication:5010072
DOI10.1142/S0219024921500199zbMath1470.91334OpenAlexW3159748590MaRDI QIDQ5010072
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Publication date: 24 August 2021
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024921500199
portfolio optimizationcoherent risk measureCVaRgeneralized hyperbolic distributionnormal mixture distributionworst-case risk
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Cites Work
- Processes of normal inverse Gaussian type
- Entropic value-at-risk: a new coherent risk measure
- Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
- Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
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