Pages that link to "Item:Q4911226"

The following pages link to Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework (Q4911226):

Displayed 11 items.

• Robust portfolio optimization: a categorized bibliographic review (Q827129) ‎ (← links)
• Hypotheses tests on the skewness parameter in a multivariate generalized hyperbolic distribution (Q2244851) ‎ (← links)
• A comparison of generalized hyperbolic distribution models for equity returns (Q2336270) ‎ (← links)
• Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions (Q2415974) ‎ (← links)
• Generating a target payoff distribution with the cheapest dynamic portfolio: an application to hedge fund replication (Q2871408) ‎ (← links)
• Estimation methods for expected shortfall (Q2879025) ‎ (← links)
• Data-driven robust mean-CVaR portfolio selection under distribution ambiguity (Q4628038) ‎ (← links)
• Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior (Q4991068) ‎ (← links)
• COHERENT RISK MEASURES AND NORMAL MIXTURE DISTRIBUTIONS WITH APPLICATIONS IN PORTFOLIO OPTIMIZATION (Q5010072) ‎ (← links)
• Forward-looking portfolio selection with multivariate non-Gaussian models (Q5139258) ‎ (← links)
• Robust portfolio asset allocation and risk measures (Q5919995) ‎ (← links)