Portfolio optimization with relative tail risk

DOI10.1007/S10479-024-06204-0MaRDI QIDQ6644371zbMATH OpenFDO

Authors Youngshin Kim, Frank J. Fabozzi

Publication date 27 November 2024

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10479-024-06204-0

zbMATH Keywords

CoCVaRCoVaRmarginal contribution to risknormal tempered stable modelportfolio optimizationrelative tail risk

Mathematics Subject Classification ID

Nonlinear programming (90C30) Portfolio theory (91G10) Statistical methods; risk measures (91G70)

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Cites work

• Feller processes of normal inverse Gaussian type
• Financial Modelling with Jump Processes
• Foster-Hart optimization for currency portfolios
• scientific article; zbMATH DE number 3600847 (Why is no real title available?)
• scientific article; zbMATH DE number 1995731 (Why is no real title available?)
• Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
• Normal tempered stable copula
• Note on the inversion theorem
• Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model
• Quanto option pricing in the presence of fat tails and asymmetric dependence
• Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
• Tempered stable processes with time-varying exponential tails
• The equity risk posed by the too-big-to-fail banks: a Foster-Hart estimation

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