Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior (Q4991068)

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scientific article; zbMATH DE number 7353673
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Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior
scientific article; zbMATH DE number 7353673

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    Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior (English)
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    2 June 2021
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    portfolio optimization
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    generalized hyperbolic distribution
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    mean-variance
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    minimum-risk portfolio
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    tail density
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