Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
From MaRDI portal
Publication:1945088
DOI10.1007/s10479-012-1229-8zbMath1260.91228OpenAlexW2099762286MaRDI QIDQ1945088
Publication date: 2 April 2013
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://publikationen.bibliothek.kit.edu/1000029307
portfolio optimizationmarginal contributionportfolio riskfat-tailed distributionmultivariate normal tempered stable distributionportfolio budgeting
Related Items (26)
Tempered stable structural model in pricing credit spread and credit default swap ⋮ Multi-objective portfolio optimization considering the dependence structure of asset returns ⋮ A mental account-based portfolio selection model with an application for data with smaller dimensions ⋮ A generalized error distribution copula-based method for portfolios risk assessment ⋮ Multi-modal tempered stable distributions and prosses with applications to finance ⋮ The equity risk posed by the too-big-to-fail banks: a Foster-Hart estimation ⋮ Long-Range Dependence in the Risk-Neutral Measure for the Market on Lehman Brothers Collapse ⋮ Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model ⋮ Unnamed Item ⋮ Risk parity for mixed tempered stable distributed sources of risk ⋮ Foster-Hart optimization for currency portfolios ⋮ Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization ⋮ Forward-looking portfolio selection with multivariate non-Gaussian models ⋮ Tail variance of portfolio under generalized Laplace distribution ⋮ Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes? ⋮ The fractional multivariate normal tempered stable process ⋮ Portfolio optimization managing value at risk under heavy tail return, using stochastic maximum principle ⋮ Estimation and simulation for multivariate tempered stable distributions ⋮ A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost ⋮ Implied risk aversion: an alternative rating system for retail structured products ⋮ Elliptical tempered stable distribution ⋮ Normal tempered stable copula ⋮ COHERENT RISK MEASURES AND NORMAL MIXTURE DISTRIBUTIONS WITH APPLICATIONS IN PORTFOLIO OPTIMIZATION ⋮ FACTOR COPULA MODEL FOR PORTFOLIO CREDIT RISK ⋮ Quanto option pricing in the presence of fat tails and asymmetric dependence ⋮ CALIBRATING THE SMILE WITH MULTIVARIATE TIME-CHANGED BROWNIAN MOTION AND THE ESSCHER TRANSFORM
Cites Work
- Asset pricing and portfolio selection based on the multivariate extended skew-student-\(t\) distribution
- EM-estimation and modeling of heavy-tailed processes with the multivariate normal inverse Gaussian distribution
- Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
- Conditional value at risk and related linear programming models for portfolio optimization
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
- Enterprise risk management: a DEA VaR approach in vendor selection
- Guest editorial
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
