Tail variance of portfolio under generalized Laplace distribution

DOI10.1016/j.amc.2016.02.005zbMath1410.91421OpenAlexW2292956613MaRDI QIDQ1731080

Hong-Yi Peng, Yu-Kuan Yang, Chun-Fu Jiang

Publication date: 20 March 2019

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2016.02.005

zbMATH Keywords

portfoliorisk measureconditional value-at-riskgeneralized Laplace distributiontail variance

Mathematics Subject Classification ID

Related Items (3)

The tail mean-variance optimal portfolio selection under generalized skew-elliptical distribution ⋮ On log-normal convolutions: an analytical-numerical method with applications to economic capital determination ⋮ Quantile-based optimal portfolio selection

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