Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model

DOI10.1007/S10479-022-04613-7zbMath1492.91327OpenAlexW4220961787MaRDI QIDQ2673808

Yanyan Li

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

zbMATH Keywords

portfolio optimizationvalue at riskconditional value at riskmarginal contributionportfolio budgetingnormal tempered stable distributionasymmetry risk measure

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Asset pricing and portfolio selection based on the multivariate extended skew-student-\(t\) distribution
• Stochastic models for risk estimation in volatile markets: a survey
• EM-estimation and modeling of heavy-tailed processes with the multivariate normal inverse Gaussian distribution
• Asymmetric risk measures and tracking models for portfolio optimization under uncertainty
• A mean-absolute deviation-skewness portfolio optimization model
• Tempered stable structural model in pricing credit spread and credit default swap
• Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization
• Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
• Normal tempered stable copula
• Quanto option pricing in the presence of fat tails and asymmetric dependence
• Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
• The equity risk posed by the too-big-to-fail banks: a Foster-Hart estimation
• Conditional value at risk and related linear programming models for portfolio optimization
• The Lévy LIBOR model
• RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL
• Estimation and simulation for multivariate tempered stable distributions
• Portfolio selection with higher moments
• OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
• Variational Solutions of the Pricing PIDEs for European Options in Lévy Models
• Feller processes of normal inverse Gaussian type
• Stochastic Volatility for Lévy Processes
• Tempered stable processes with time-varying exponential tails
• Forward-looking portfolio selection with multivariate non-Gaussian models
• Note on the inversion theorem

This page was built for publication: Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model