Optimal portfolio positioning within generalized Johnson distributions

DOI10.1080/14697688.2016.1253859MaRDI QIDQ4555123zbMATH OpenOpenAlexFDO

Authors Naceur Naguez, J. L. Prigent

Publication date 19 November 2018

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://faculty-research.ipag.edu/wp-content/uploads/recherche/WP/IPAG_WP_2014_336.pdf

zbMATH Keywords

hedge fundsJohnson distributionsoptimal portfolio positioningstructured asset management

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Portfolio optimization under a generalized hyperbolic skewed t distribution and exponential utility
• Portfolio selection with stable distributed returns
• Portfolio management with stable distributions
• Portfolio optimization for Student \(t\) and skewed \(t\) returns
• Dynamic portfolio insurance strategies: risk management under Johnson distributions

Cites work

• An Empirical Portfolio Perspective on Option Pricing Anomalies*
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• Optimal portfolio management with American capital guarantee
• Optimal positioning in derivative securities
• Options and structured products in behavioral portfolios
• Portfolio Optimization and Performance Analysis
• Robustness of the Black and Scholes Formula
• SYSTEMS OF FREQUENCY CURVES GENERATED BY METHODS OF TRANSLATION
• The impact of prudence on optimal prevention
• The Johnson System: Selection and Parameter Estimation
• The Representation of Functionals of Brownian Motion by Stochastic Integrals
• Theory of constant proportion portfolio insurance
• White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance

Cited in

(2)

• Computation of the corrected Cornish-Fisher expansion using the response surface methodology: application to \textit{VaR} and \textit{CVaR}
• Inference for the Johnson S _B distribution

Describes a project that uses

Uses Software

• AS 99

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