Optimal portfolio selection based on expected shortfall under generalized hyperbolic distribution

DOI10.1007/S10690-014-9183-XMaRDI QIDQ1627671zbMATH OpenOpenAlexFDO

Authors Budhi A. Surya, Ryan Kurniawan

Publication date 3 December 2018

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-014-9183-x

zbMATH Keywords

expected shortfallgeneralized hyperbolic distributionportfolio optimization

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Portfolio theory (91G10) Statistical methods; risk measures (91G70)

Recommendations

• Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework
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• Optimal portfolio theory for stable distributions

Cites work

• Coherent measures of risk
• Empirical properties of asset returns: stylized facts and statistical issues
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Hyperbolic distributions in finance
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Normal Variance-Mean Mixtures and z Distributions

Cited in

(11)

• The tail mean-variance optimal portfolio selection under generalized skew-elliptical distribution
• NORTA for portfolio credit risk
• A characterization of optimal portfolios under the tail mean-variance criterion
• Distribution assumptions and risk constraints in portfolio optimization
• Portfolio optimization when risk factors are conditionally varying and heavy tailed
• Optimal expected-shortfall portfolio selection with copula-induced dependence
• Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework
• The expected shortfall of quadratic portfolios with heavy-tailed risk factors
• Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior
• Portfolio optimization under a generalized hyperbolic skewed t distribution and exponential utility
• Study on the interrelation of efficient portfolios and their frontier under \(t\) distribution and various risk measures

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Uses Software

• QRM

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