Foster-Hart optimization for currency portfolios

DOI10.1515/snde-2017-0119OpenAlexW2899172703WikidataQ129025324 ScholiaQ129025324MaRDI QIDQ2697032

Yanyan Li

Publication date: 17 April 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2017-0119

zbMATH Keywords

portfolio optimizationvalue at riskaverage value at riskmultivariate normal tempered stable distributionFoster-Hart risk

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

Tempered stable processes with time-varying exponential tails

Cites Work

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