Pages that link to "Item:Q5189717"

The following pages link to Portfolio optimization for student<i>t</i>and skewed<i>t</i>returns (Q5189717):

Displaying 14 items.

• Asymmetry in tail dependence in equity portfolios (Q1659125) (← links)
• Tail variance of portfolio under generalized Laplace distribution (Q1731080) (← links)
• Multi-stock portfolio optimization under prospect theory (Q1938996) (← links)
• Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs (Q2247929) (← links)
• Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns (Q2280583) (← links)
• Varying confidence levels for CVaR risk measures and minimax limits (Q2297651) (← links)
• Non-linear equity portfolio variance reduction under a mean-variance framework -- a delta-gamma approach (Q2450760) (← links)
• Cumulative Prospect Theory with Generalized Hyperbolic Skewed $t$ Distribution (Q4635242) (← links)
• Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior (Q4991068) (← links)
• Portfolio optimization under a generalized hyperbolic skewed<i>t</i>distribution and exponential utility (Q5001187) (← links)
• Forward-looking portfolio selection with multivariate non-Gaussian models (Q5139258) (← links)
• Log Student’s<i>t</i>-distribution-based option sensitivities: Greeks for the Gosset formulae (Q5397462) (← links)
• Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints (Q5737736) (← links)
• A comparison of the GB2 and skewed generalized log-t distributions with an application in finance (Q6199642) (← links)