Conditional tail risk measures for the skewed generalised hyperbolic family (Q2415969)
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scientific article; zbMATH DE number 7057810
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| English | Conditional tail risk measures for the skewed generalised hyperbolic family |
scientific article; zbMATH DE number 7057810 |
Statements
Conditional tail risk measures for the skewed generalised hyperbolic family (English)
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23 May 2019
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tail conditional expectation
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skewed generalised hyperbolic distributions
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conditional tail risk measures
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generalized inverse Gaussian distribution
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portfolio allocation
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0.903300940990448
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0.8569779396057129
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0.7814119458198547
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0.7695862650871277
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0.7670142650604248
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