Pages that link to "Item:Q1945088"
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The following pages link to Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model (Q1945088):
Displayed 14 items.
- Multi-objective portfolio optimization considering the dependence structure of asset returns (Q319400) (← links)
- Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes? (Q481380) (← links)
- The fractional multivariate normal tempered stable process (Q714607) (← links)
- Tempered stable structural model in pricing credit spread and credit default swap (Q1621638) (← links)
- Risk parity for mixed tempered stable distributed sources of risk (Q1703562) (← links)
- Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization (Q1722750) (← links)
- Tail variance of portfolio under generalized Laplace distribution (Q1731080) (← links)
- A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost (Q2315847) (← links)
- Implied risk aversion: an alternative rating system for retail structured products (Q2328778) (← links)
- Normal tempered stable copula (Q2339016) (← links)
- Quanto option pricing in the presence of fat tails and asymmetric dependence (Q2347727) (← links)
- The equity risk posed by the too-big-to-fail banks: a Foster-Hart estimation (Q2399305) (← links)
- CALIBRATING THE SMILE WITH MULTIVARIATE TIME-CHANGED BROWNIAN MOTION AND THE ESSCHER TRANSFORM (Q2874728) (← links)
- Long-Range Dependence in the Risk-Neutral Measure for the Market on Lehman Brothers Collapse (Q4585680) (← links)