Cumulative Prospect Theory with Generalized Hyperbolic Skewed $t$ Distribution

DOI10.1137/16M1093550zbMath1408.91198MaRDI QIDQ4635242

Traian A. Pirvu, Minsuk Kwak

Publication date: 16 April 2018

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

zbMATH Keywords

portfolio optimizationcumulative prospect theorygeneralized hyperbolic skewed \(t\) distributionportfolio fund separation

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (3)

Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study ⋮ Some properties of the optimal investment strategy in a behavioral portfolio choice model ⋮ Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior

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