Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework

DOI10.1080/14697680903280483zbMath1258.91197OpenAlexW2010778123MaRDI QIDQ4911226

Stefan Kassberger, Martin Hellmich

Publication date: 14 March 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903280483

zbMATH Keywords

portfolio optimizationrobust optimizationrisk managementconditional value at riskasset allocationmultivariate generalized hyperbolic distributionworst case conditional value at risk

Mathematics Subject Classification ID

Related Items (11)

Robust portfolio optimization: a categorized bibliographic review ⋮ Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions ⋮ Data-driven robust mean-CVaR portfolio selection under distribution ambiguity ⋮ Forward-looking portfolio selection with multivariate non-Gaussian models ⋮ Hypotheses tests on the skewness parameter in a multivariate generalized hyperbolic distribution ⋮ Robust portfolio asset allocation and risk measures ⋮ Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior ⋮ A comparison of generalized hyperbolic distribution models for equity returns ⋮ COHERENT RISK MEASURES AND NORMAL MIXTURE DISTRIBUTIONS WITH APPLICATIONS IN PORTFOLIO OPTIMIZATION ⋮ Generating a target payoff distribution with the cheapest dynamic portfolio: an application to hedge fund replication ⋮ Estimation methods for expected shortfall

Uses Software

• QRM

Cites Work

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• Extreme Financial Risks
• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Robust Portfolio Selection Problems
• Tail Conditional Expectations for Elliptical Distributions

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