Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework (Q4911226)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework |
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
0 references
