Tail variance of portfolio under generalized Laplace distribution (Q1731080)

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Language	Label	Description	Also known as
English	Tail variance of portfolio under generalized Laplace distribution	scientific article

Statements

scholarly article

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Tail variance of portfolio under generalized Laplace distribution (English)

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Applied Mathematics and Computation

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publication date

20 March 2019

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zbMATH Keywords

portfolio

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risk measure

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tail variance

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conditional value-at-risk

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generalized Laplace distribution

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.amc.2016.02.005

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Coherent Measures of Risk

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The computation of the worst conditional expectation.

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Risk measures for skew normal mixtures

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THE EXPECTED SHORTFALL OF QUADRATIC PORTFOLIOS WITH HEAVY‐TAILED RISK FACTORS

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Portfolio optimization when asset returns have the Gaussian mixture distribution

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A new class of coherent risk measures based on <i>p</i>‐norms and their applications

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Reduced-Bias Estimator of the Conditional Tail Expectation of Heavy-Tailed Distributions

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Non-parametric Estimation of Extreme Risk Measures from Conditional Heavy-tailed Distributions

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Tail Variance Premium with Applications for Elliptical Portfolio of Risks

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Portfolio optimization for student<i>t</i>and skewed<i>t</i>returns

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Portfolio selection under distributional uncertainty: a relative robust CVaR approach

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Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions

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VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS

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Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model

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On the tail mean-variance optimal portfolio selection

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Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component

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Tail variance premiums for log-elliptical distributions

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Tail Conditional Expectations for Elliptical Distributions

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Conditional value-at-risk in portfolio optimization: coherent but fragile

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An empirical evaluation of fat-tailed distributions in modeling financial time series

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A characterization of optimal portfolios under the tail mean-variance criterion

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Comparing tail variabilities of risks by means of the excess wealth order

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Optimal capital allocation based on the tail mean-variance model

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Characterization of efficient frontier for mean-variance model with a drawdown constraint

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Capital asset pricing model (CAPM) with drawdown measure

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A generalized asymmetric Student-\(t\) distribution with application to financial econometrics

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Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management

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Identifiers

zbMATH Open document ID

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10.1016/j.amc.2016.02.005

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:1731080

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