COHERENT RISK MEASURES AND NORMAL MIXTURE DISTRIBUTIONS WITH APPLICATIONS IN PORTFOLIO OPTIMIZATION

DOI10.1142/S0219024921500199zbMath1470.91334OpenAlexW3159748590MaRDI QIDQ5010072

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Publication date: 24 August 2021

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024921500199

zbMATH Keywords

portfolio optimizationcoherent risk measureCVaRgeneralized hyperbolic distributionnormal mixture distributionworst-case risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Quadratic programming (90C20) Portfolio theory (91G10)

Related Items

Aumann-Serrano index of risk in portfolio optimization

Cites Work

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• Financial Modelling with Jump Processes
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• The Variance Gamma Process and Option Pricing
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