Tail variance of portfolio under generalized Laplace distribution
type: Item
instance of: scholarly article
title: Tail variance of portfolio under generalized Laplace distribution
zbMATH Open document ID: 1410.91421
author: Chun-Fu Jiang
author: Hong-Yi Peng
author: Yu-Kuan Yang
published in: Applied Mathematics and Computation
publication date: 2019-03-20T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 7039700
zbMATH Keywords: portfolio
zbMATH Keywords: risk measure
zbMATH Keywords: tail variance
zbMATH Keywords: conditional value-at-risk
zbMATH Keywords: generalized Laplace distribution
MaRDI profile type: Publication
full work available at URL: j.amc.2016.02.005
OpenAlex ID: W2292956613
cites work: Coherent measures of risk
cites work: The computation of the worst conditional expectation.
cites work: Risk measures for skew normal mixtures
cites work: THE EXPECTED SHORTFALL OF QUADRATIC PORTFOLIOS WITH HEAVY‐TAILED RISK FACTORS
cites work: Portfolio optimization when asset returns have the Gaussian mixture distribution
cites work: A new class of coherent risk measures based on p‐norms and their applications
cites work: Reduced-Bias Estimator of the Conditional Tail Expectation of Heavy-Tailed Distributions
cites work: Non-parametric Estimation of Extreme Risk Measures from Conditional Heavy-tailed Distributions
cites work: Tail Variance Premium with Applications for Elliptical Portfolio of Risks
cites work: Portfolio optimization for studenttand skewedtreturns
cites work: Portfolio selection under distributional uncertainty: a relative robust CVaR approach
cites work: Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions
cites work: VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS
cites work: Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
cites work: On the tail mean-variance optimal portfolio selection
cites work: Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component
cites work: Tail variance premiums for log-elliptical distributions
cites work: Tail Conditional Expectations for Elliptical Distributions
cites work: Conditional value-at-risk in portfolio optimization: coherent but fragile
cites work: An empirical evaluation of fat-tailed distributions in modeling financial time series
cites work: A characterization of optimal portfolios under the tail mean-variance criterion
cites work: Comparing tail variabilities of risks by means of the excess wealth order
cites work: Q5310532
cites work: Q4962328
cites work: Optimal capital allocation based on the tail mean-variance model
cites work: Characterization of efficient frontier for mean-variance model with a drawdown constraint
cites work: Capital asset pricing model (CAPM) with drawdown measure
cites work: A generalized asymmetric Student-\(t\) distribution with application to financial econometrics
cites work: Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
DOI: 10.1016/J.AMC.2016.02.005
description: scientific article; zbMATH DE number 7039700