Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model (Q2673808)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model |
scientific article |
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Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model (English)
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13 June 2022
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portfolio optimization
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asymmetry risk measure
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normal tempered stable distribution
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marginal contribution
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portfolio budgeting
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value at risk
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conditional value at risk
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