Optimal portfolio positioning within generalized Johnson distributions

DOI10.1080/14697688.2016.1253859zbMath1402.91721OpenAlexW643423378MaRDI QIDQ4555123

Naceur Naguez, Jean-Luc Prigent

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://faculty-research.ipag.edu/wp-content/uploads/recherche/WP/IPAG_WP_2014_336.pdf

zbMATH Keywords

hedge fundsJohnson distributionsoptimal portfolio positioningstructured asset management

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (1)

Computation of the corrected Cornish-Fisher expansion using the response surface methodology: application to \textit{VaR} and \textit{CVaR}

Uses Software

• AS 99

Cites Work

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