Portfolio selection in the presence of heavy-tailed asset returns

zbMATH Open1135.62386MaRDI QIDQ5386497FDOQ5386497

Authors: Toker Doganoglu, Stefan Mittnik, Svetlozar T. Rachev 

Publication date: 14 May 2008

Recommendations

• Portfolio selection with stable distributed returns
• Portfolio optimization when risk factors are conditionally varying and heavy tailed
• Portfolio management with stable distributions
• A characterization of optimal portfolios under the tail mean-variance criterion
• Robust portfolio optimization

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cited In (24)

• Joint tails impact in stochastic volatility portfolio selection models
• Portfolio selection in a data-rich environment
• PORTFOLIO THEORY FOR "FAT TAILS"
• A CHANCE-CONSTRAINED PORTFOLIO SELECTION PROBLEM UNDER t-DISTRIBUTION
• Heterogeneous tail generalized COMFORT modeling via Cholesky decomposition
• Portfolio selection with stable distributed returns
• Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior
• A characterization of optimal portfolios under the tail mean-variance criterion
• Risk measure method expected return under heavy-tail distributions
• Forward-looking portfolio selection with multivariate non-Gaussian models
• Asymptotic distribution of the sample average value-at-risk in the case of heavy-tailed returns
• Portfolio optimization when risk factors are conditionally varying and heavy tailed
• ON PORTFOLIO SELECTION UNDER EXTREME RISK MEASURE: THE HEAVY-TAILED ICA MODEL
• Portfolio optimization for Student \(t\) and skewed \(t\) returns
• Comparing downside risk measures for heavy tailed distributions
• Robust portfolio optimization
• Portfolio Selection with Common Correlation Mixture Models
• Optimal portfolios with end-of-period target
• Risk-return trade-off with the scenario approach in practice: a case study in portfolio selection
• Large portfolio allocation under elliptical distribution with a latent factor structure
• Taming Large Events: Optimal Portfolio Theory for Strongly Fluctuating Assets
• Stable ETL Optimal Portfolios and Extreme Risk Management
• An integrated system for market risk, credit risk and portfolio optimization based on heavy-tailed models and downside risk measures.
• Robust portfolio optimization

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