Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization

DOI10.1007/S10287-018-0306-0MaRDI QIDQ1722750zbMATH OpenOpenAlexFDO

Authors Asmerilda Hitaj, Lorenzo Mercuri, Edit Rroji

Publication date 18 February 2019

Published in Computational Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10287-018-0306-0

zbMATH Keywords

sensitivity analysisportfolio optimizationmixed tempered stable distribution

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Recommendations

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Cites work

• scientific article; zbMATH DE number 1639859 (Why is no real title available?)
• scientific article; zbMATH DE number 5901077 (Why is no real title available?)
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• A Test of Goodness of Fit
• Bootstrap methods: another look at the jackknife
• Coherent measures of risk
• Fat tails, VaR and subadditivity
• Financial modeling under non-Gaussian distributions.
• Financial models with Lévy processes and volatility clustering.
• Large Sample Properties of Generalized Method of Moments Estimators
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
• Mixed tempered stable distribution
• Normal Variance-Mean Mixtures and z Distributions
• On multivariate extensions of the mixed tempered stable distribution
• Option pricing in an exponential mixedts Lévy process
• Riding with the four horsemen and the multivariate normal tempered stable model
• Risk parity for mixed tempered stable distributed sources of risk
• Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
• The Variance Gamma Process and Option Pricing

Cited in

(4)

• Theoretical and empirical estimates of mean-variance portfolio sensitivity
• Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model
• The skew normal multivariate risk measurement framework
• A welcome to the jungle of continuous-time multivariate non-Gaussian models based on Lévy processes applied to finance

Describes a project that uses

Uses Software

• PricingMixedTS
• AnDarl

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