Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior

DOI10.1080/14697688.2020.1762913zbMath1466.91280OpenAlexW3082747892WikidataQ115549901 ScholiaQ115549901MaRDI QIDQ4991068

Luis Chavez-Bedoya, John R. Birge

Publication date: 2 June 2021

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

Full work available at URL: https://doi.org/10.1080/14697688.2020.1762913

zbMATH Keywords

portfolio optimizationmean-variancegeneralized hyperbolic distributionminimum-risk portfoliotail density

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20) Portfolio theory (91G10)

Uses Software

• QRM

Cites Work

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• A Stein type lemma for the multivariate generalized hyperbolic distribution
• Hyperbolic distributions in finance
• Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
• Monotonicity of the Zeros of a Cross-Product of Bessel Functions
• What is the Opportunity Cost of Mean-Variance Investment Strategies?
• Cumulative Prospect Theory with Generalized Hyperbolic Skewed $t$ Distribution
• Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework
• Portfolio optimization under a generalized hyperbolic skewedtdistribution and exponential utility
• Portfolio optimization for studenttand skewedtreturns
• The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments

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