Stable ETL Optimal Portfolios and Extreme Risk Management

DOI10.1007/978-3-7908-2050-8_11MaRDI QIDQ3606101zbMATH OpenOpenAlexFDO

Authors Borjana Racheva, Stoyan V. Stoyanov, Svetlozar T. Rachev, R. Douglas Martin

Publication date 26 February 2009

Published in Contributions to Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-7908-2050-8_11

Mathematics Subject Classification ID

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Cites work

• Stable Paretian models in finance
• Univariate stable laws in the field of finance -- parameter estimation

Cited in

(6)

• Polyhedral coherent risk measures and optimal portfolios on the reward-risk ratio
• Periodic portfolio revision with transaction costs
• Foster-Hart optimization for currency portfolios
• Recent Advances in Credit Risk Management
• Mean-variance and mean-ETL optimizations in portfolio selection: an update
• Stochastic models for risk estimation in volatile markets: a survey

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