Pages that link to "Item:Q4911226"
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The following pages link to Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework (Q4911226):
Displaying 15 items.
- Robust portfolio optimization: a categorized bibliographic review (Q827129) (← links)
- The use of the multi-cumulant tensor analysis for the algorithmic optimisation of investment portfolios (Q1620236) (← links)
- Hypotheses tests on the skewness parameter in a multivariate generalized hyperbolic distribution (Q2244851) (← links)
- A comparison of generalized hyperbolic distribution models for equity returns (Q2336270) (← links)
- Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions (Q2415974) (← links)
- Robust Markowitz: comprehensively maximizing Sharpe ratio by parametric-quadratic programming (Q2691241) (← links)
- Generating a target payoff distribution with the cheapest dynamic portfolio: an application to hedge fund replication (Q2871408) (← links)
- Estimation methods for expected shortfall (Q2879025) (← links)
- Data-driven robust mean-CVaR portfolio selection under distribution ambiguity (Q4628038) (← links)
- Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior (Q4991068) (← links)
- COHERENT RISK MEASURES AND NORMAL MIXTURE DISTRIBUTIONS WITH APPLICATIONS IN PORTFOLIO OPTIMIZATION (Q5010072) (← links)
- Forward-looking portfolio selection with multivariate non-Gaussian models (Q5139258) (← links)
- Robust portfolio asset allocation and risk measures (Q5919995) (← links)
- Likelihood-based inference for linear mixed-effects models using the generalized hyperbolic distribution (Q6548855) (← links)
- Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models (Q6549617) (← links)
