Portfolio optimization under a generalized hyperbolic skewedtdistribution and exponential utility

DOI10.1080/14697688.2015.1113307zbMath1468.91132OpenAlexW2971421721MaRDI QIDQ5001187

John R. Birge, Luis Chavez-Bedoya

Publication date: 16 July 2021

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

Full work available at URL: https://doi.org/10.1080/14697688.2015.1113307

zbMATH Keywords

portfolio optimizationmean-varianceskewed \(t\) distribution

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (3)

Cumulative Prospect Theory with Generalized Hyperbolic Skewed $t$ Distribution ⋮ A Stein type lemma for the multivariate generalized hyperbolic distribution ⋮ Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior

Uses Software

• QRM

Cites Work

• Unnamed Item
• On some Turán-type inequalities
• Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
• On Bayesian Modeling of Fat Tails and Skewness
• What is the Opportunity Cost of Mean-Variance Investment Strategies?
• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• A Skew Extension of the T-Distribution, with Applications
• Portfolio optimization for studenttand skewedtreturns
• The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments

This page was built for publication: Portfolio optimization under a generalized hyperbolic skewedtdistribution and exponential utility