Risk measure method expected return under heavy-tail distributions

MaRDI QIDQ3572549zbMATH OpenFDO

Authors Qingxiao Wu, Hailong Liu, Youchuan Xu

Publication date 8 July 2010

zbMATH Keywords

heavy-tail distributioninvestment choicerisk measuretarget return

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Comparing downside risk measures for heavy tailed distributions
• Tail variance of portfolio under generalized Laplace distribution
• Tail nonlinearly transformed risk measure and its application
• Study on the interrelation of efficient portfolios and their frontier under \(t\) distribution and various risk measures
• Portfolio selection in the presence of heavy-tailed asset returns

Cited in

(1)

• Comparing downside risk measures for heavy tailed distributions

This page was built for publication: Risk measure method expected return under heavy-tail distributions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3572549)