Coherent risk measures and normal mixture distributions with applications in portfolio optimization

DOI10.1142/S0219024921500199MaRDI QIDQ5010072zbMATH OpenOpenAlexFDO

Authors

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

coherent risk measureCVaRgeneralized hyperbolic distributionnormal mixture distributionportfolio optimizationworst-case risk

Mathematics Subject Classification ID

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

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Cites work

• Coherent measures of risk
• Coherent risk measures
• Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework
• Entropic value-at-risk: a new coherent risk measure
• Financial Modelling with Jump Processes
• Financial models with Lévy processes and volatility clustering.
• scientific article; zbMATH DE number 1639859 (Why is no real title available?)
• scientific article; zbMATH DE number 5060482 (Why is no real title available?)
• Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
• Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
• Processes of normal inverse Gaussian type
• Stable Paretian models in finance
• The Variance Gamma Process and Option Pricing
• Worst-case conditional value-at-risk with application to robust portfolio management

Cited in

(11)

• Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization
• Aumann-Serrano index of risk in portfolio optimization
• Calculating CVaR and bPOE for common probability distributions with application to portfolio optimization and density estimation
• Managing the risk based on entropic value-at-risk under a normal-Rayleigh distribution
• Portfolio optimization when asset returns have the Gaussian mixture distribution
• Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model
• Proper Conditioning for Coherent VaR in Portfolio Management
• Risk measures for skew normal mixtures
• Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models
• Entropic risk-averse generalized momentum methods
• Risk-adjusted probability measures in portfolio optimization with coherent measures of risk

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