Portfolio optimization for studenttand skewedtreturns

DOI10.1080/14697680902814225zbMath1198.91191OpenAlexW2122126300MaRDI QIDQ5189717

Alec Norton, Wen-Bo Hu

Publication date: 11 March 2010

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

Full work available at URL: https://doi.org/10.1080/14697680902814225

zbMATH Keywords

portfolio optimizationportfolio managementrisk managementvalue at riskmodel estimationcorrelation modelling

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items (14)

Asymmetry in tail dependence in equity portfolios ⋮ Multi-stock portfolio optimization under prospect theory ⋮ A comparison of the GB2 and skewed generalized log-t distributions with an application in finance ⋮ Non-linear equity portfolio variance reduction under a mean-variance framework -- a delta-gamma approach ⋮ Forward-looking portfolio selection with multivariate non-Gaussian models ⋮ Tail variance of portfolio under generalized Laplace distribution ⋮ Cumulative Prospect Theory with Generalized Hyperbolic Skewed $t$ Distribution ⋮ Log Student’st-distribution-based option sensitivities: Greeks for the Gosset formulae ⋮ Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs ⋮ Distributionally Robust Reward-Risk Ratio Optimization with Moment Constraints ⋮ Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns ⋮ Varying confidence levels for CVaR risk measures and minimax limits ⋮ Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior ⋮ Portfolio optimization under a generalized hyperbolic skewedtdistribution and exponential utility

Uses Software

• QRM

Cites Work

• Coherent Measures of Risk
• The t Copula and Related Copulas

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