Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior (Q4991068)
From MaRDI portal
scientific article; zbMATH DE number 7353673
Language | Label | Description | Also known as |
---|---|---|---|
English | Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior |
scientific article; zbMATH DE number 7353673 |
Statements
Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior (English)
0 references
2 June 2021
0 references
portfolio optimization
0 references
generalized hyperbolic distribution
0 references
mean-variance
0 references
minimum-risk portfolio
0 references
tail density
0 references
0 references
0 references
0 references
0 references