Portfolio optimization with relative tail risk

DOI10.1007/s10479-024-06204-0MaRDI QIDQ6644371

Youngshin Kim, Frank J. Fabozzi

Publication date: 27 November 2024

Published in: Annals of Operations Research (Search for Journal in Brave)

zbMATH Keywords

portfolio optimizationCoVaRnormal tempered stable modelCoCVaRmarginal contribution to riskrelative tail risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Nonlinear programming (90C30) Portfolio theory (91G10)

Cites Work

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• Foster-Hart optimization for currency portfolios
• Feller processes of normal inverse Gaussian type
• Financial Modelling with Jump Processes
• Tempered stable processes with time-varying exponential tails
• Note on the inversion theorem

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