Risk parity for mixed tempered stable distributed sources of risk

DOI10.1007/S10479-016-2394-YzbMath1404.91247OpenAlexW2566883447MaRDI QIDQ1703562

Lorenzo Mercuri, Edit Rroji

Publication date: 2 March 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2434/462385

zbMATH Keywords

optimizationrisk paritymixed tempered stable

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (2)

On Properties of the MixedTS Distribution and Its Multivariate Extension ⋮ Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization

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