Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior (Q4991068)
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scientific article; zbMATH DE number 7353673
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior |
scientific article; zbMATH DE number 7353673 |
Statements
Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior (English)
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2 June 2021
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portfolio optimization
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generalized hyperbolic distribution
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mean-variance
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minimum-risk portfolio
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tail density
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