Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
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Publication:1945088
DOI10.1007/s10479-012-1229-8zbMath1260.91228MaRDI 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 optimization; marginal contribution; portfolio risk; fat-tailed distribution; multivariate normal tempered stable distribution; portfolio budgeting
91G10: Portfolio theory
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