Optimal portfolio selection based on expected shortfall under generalized hyperbolic distribution (Q1627671)
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scientific article; zbMATH DE number 6987581
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| English | Optimal portfolio selection based on expected shortfall under generalized hyperbolic distribution |
scientific article; zbMATH DE number 6987581 |
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Optimal portfolio selection based on expected shortfall under generalized hyperbolic distribution (English)
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3 December 2018
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generalized hyperbolic distribution
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expected shortfall
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portfolio optimization
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0.8376840949058533
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0.8270004391670227
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0.8082256317138672
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0.7882869243621826
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0.7880539298057556
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