A Stein type lemma for the multivariate generalized hyperbolic distribution

DOI10.1016/j.ejor.2017.03.008zbMath1403.91265OpenAlexW2554984958WikidataQ124802595 ScholiaQ124802595MaRDI QIDQ1753607

Steven Vanduffel, Jing Yao

Publication date: 29 May 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2017.03.008

zbMATH Keywords

utility functiondecision analysismean-variance optimizationStein's lemmamultivariate generalized hyperbolic distribution (MGH)

Mathematics Subject Classification ID

Decision theory (91B06) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05) Stochastic models in economics (91B70) Utility theory (91B16)

Related Items

Stein's lemma for truncated elliptical random vectors, On the property of multivariate generalized hyperbolic distribution and the Stein-type inequality, Stein’s Lemma for generalized skew-elliptical random vectors, On bounds for the mode and median of the generalized hyperbolic and related distributions, Cumulative Prospect Theory with Generalized Hyperbolic Skewed $t$ Distribution, Minimum Rényi entropy portfolios, Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior

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