Optimal portfolio selection based on expected shortfall under generalized hyperbolic distribution

DOI10.1007/s10690-014-9183-xzbMath1418.91490OpenAlexW2171018328MaRDI QIDQ1627671

Budhi A. Surya, Ryan Kurniawan

Publication date: 3 December 2018

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-014-9183-x

zbMATH Keywords

portfolio optimizationexpected shortfallgeneralized hyperbolic distribution

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Portfolio theory (91G10)

Related Items (1)

NORTA for portfolio credit risk

Uses Software

• QRM

Cites Work

• Unnamed Item
• Hyperbolic distributions in finance
• Coherent Measures of Risk
• Normal Variance-Mean Mixtures and z Distributions
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Empirical properties of asset returns: stylized facts and statistical issues

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