Pages that link to "Item:Q1945088"

The following pages link to Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model (Q1945088):

Displaying 26 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 mental account-based portfolio selection model with an application for data with smaller dimensions (Q2147082) (← links)
• A generalized error distribution copula-based method for portfolios risk assessment (Q2159132) (← 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)
• Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model (Q2673808) (← links)
• Foster-Hart optimization for currency portfolios (Q2697032) (← links)
• CALIBRATING THE SMILE WITH MULTIVARIATE TIME-CHANGED BROWNIAN MOTION AND THE ESSCHER TRANSFORM (Q2874728) (← links)
• Portfolio optimization managing value at risk under heavy tail return, using stochastic maximum principle (Q3383684) (← links)
• Estimation and simulation for multivariate tempered stable distributions (Q3390458) (← links)
• Long-Range Dependence in the Risk-Neutral Measure for the Market on Lehman Brothers Collapse (Q4585680) (← links)
• Elliptical tempered stable distribution (Q5001190) (← links)
• (Q5004044) (← links)
• COHERENT RISK MEASURES AND NORMAL MIXTURE DISTRIBUTIONS WITH APPLICATIONS IN PORTFOLIO OPTIMIZATION (Q5010072) (← links)
• FACTOR COPULA MODEL FOR PORTFOLIO CREDIT RISK (Q5010074) (← links)
• Multi-modal tempered stable distributions and prosses with applications to finance (Q5077485) (← links)
• Forward-looking portfolio selection with multivariate non-Gaussian models (Q5139258) (← links)