Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework
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Cites work
- An interior-point method for a class of saddle-point problems
- Coherent measures of risk
- Extreme Financial Risks
- scientific article; zbMATH DE number 1466110 (Why is no real title available?)
- scientific article; zbMATH DE number 1390900 (Why is no real title available?)
- Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
- Option pricing using variance gamma Markov chains
- Robust asset allocation
- Robust Portfolio Selection Problems
- Tail Conditional Expectations for Elliptical Distributions
- Worst-case conditional value-at-risk with application to robust portfolio management
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
Cited in
(25)- The use of the multi-cumulant tensor analysis for the algorithmic optimisation of investment portfolios
- Optimal portfolio selection based on expected shortfall under generalized hyperbolic distribution
- Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
- Hypotheses tests on the skewness parameter in a multivariate generalized hyperbolic distribution
- A comparison of generalized hyperbolic distribution models for equity returns
- Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions
- Portfolio optimization when asset returns have the Gaussian mixture distribution
- Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model
- Robust Markowitz: comprehensively maximizing Sharpe ratio by parametric-quadratic programming
- Generating a target payoff distribution with the cheapest dynamic portfolio: an application to hedge fund replication
- Estimation methods for expected shortfall
- Analysis of portfolio CVaR based on pair-copula scenario generation and the constraint of generalized entropy
- Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
- Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior
- Portfolio optimization under a generalized hyperbolic skewed t distribution and exponential utility
- Coherent risk measures and normal mixture distributions with applications in portfolio optimization
- Forward-looking portfolio selection with multivariate non-Gaussian models
- Robust portfolio asset allocation and risk measures
- Likelihood-based inference for linear mixed-effects models using the generalized hyperbolic distribution
- Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models
- Estimation of the generalized Laplace distribution and its projection onto the circle
- Exponential utility maximization in small/large financial markets
- Risk parity portfolio optimization under heavy-tailed returns and dynamic correlations
- Computational aspects of likelihood-based inference for the univariate generalized hyperbolic distribution
- Robust portfolio optimization: a categorized bibliographic review
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