Portfolio selection in the presence of heavy-tailed asset returns

MaRDI QIDQ5386497zbMATH OpenFDO

Authors Toker Doganoglu, Stefan Mittnik, Svetlozar T. Rachev

Publication date 14 May 2008

Mathematics Subject Classification ID

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

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

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
• A characterization of optimal portfolios under the tail mean-variance criterion
• Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior
• 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
• Robust portfolio optimization
• Comparing downside risk measures for heavy tailed distributions
• Portfolio optimization for Student \(t\) and skewed \(t\) returns
• Optimal portfolios with end-of-period target
• Portfolio Selection with Common Correlation Mixture Models
• 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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