Coherent risk measures and normal mixture distributions with applications in portfolio optimization (Q5010072)
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scientific article; zbMATH DE number 7384600
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| English | Coherent risk measures and normal mixture distributions with applications in portfolio optimization |
scientific article; zbMATH DE number 7384600 |
Statements
COHERENT RISK MEASURES AND NORMAL MIXTURE DISTRIBUTIONS WITH APPLICATIONS IN PORTFOLIO OPTIMIZATION (English)
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24 August 2021
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coherent risk measure
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CVaR
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normal mixture distribution
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generalized hyperbolic distribution
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portfolio optimization
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worst-case risk
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0.8022054433822632
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0.8004202246665955
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0.7943532466888428
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0.7895193696022034
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0.7857115268707275
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