Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework (Q4911226)
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scientific article; zbMATH DE number 6144872
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| English | Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework |
scientific article; zbMATH DE number 6144872 |
Statements
Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework (English)
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14 March 2013
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portfolio optimization
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robust optimization
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asset allocation
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risk management
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multivariate generalized hyperbolic distribution
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conditional value at risk
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worst case conditional value at risk
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0.8376840949058533
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0.8049216270446777
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0.8039701581001282
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0.7959538102149963
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0.7929137945175171
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