Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model
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Publication:2673808
DOI10.1007/S10479-022-04613-7zbMath1492.91327OpenAlexW4220961787MaRDI QIDQ2673808
Publication date: 13 June 2022
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-022-04613-7
portfolio optimizationvalue at riskconditional value at riskmarginal contributionportfolio budgetingnormal tempered stable distributionasymmetry risk measure
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