Value-at-Risk-efficient portfolios for a class of super- and sub-exponentially decaying assets return distributions
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Publication:4647593
DOI10.1088/1469-7688/4/1/002zbMath1405.91562arXivphysics/0301009OpenAlexW1988447700MaRDI QIDQ4647593
Didier Sornette, Yannick Malevergne
Publication date: 15 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/physics/0301009
Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
Related Items (8)
On asymmetric generalization of the Weibull distribution by scale-location mixing of normal laws ⋮ Cluster analysis for portfolio optimization ⋮ Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility ⋮ A new approach to fitting the three-parameter Weibull distribution: An application to glass ceramics ⋮ Semi-parametric expected shortfall forecasting in financial markets ⋮ Portfolio diversification under local and moderate deviations from power laws ⋮ Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution ⋮ Estimating the tail-dependence coefficient: properties and pitfalls
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