Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework
type: Item
instance of: scholarly article
title: Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework
zbMATH Open document ID: 1258.91197
DOI: 10.1080/14697680903280483
author: Martin Hellmich
author: Stefan Kassberger
published in: Quantitative Finance
publication date: 2013-03-14T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 90C90
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6144872
zbMATH Keywords: portfolio optimization
zbMATH Keywords: robust optimization
zbMATH Keywords: asset allocation
zbMATH Keywords: risk management
zbMATH Keywords: multivariate generalized hyperbolic distribution
zbMATH Keywords: conditional value at risk
zbMATH Keywords: worst case conditional value at risk
describes a project that uses: QRM
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1080/14697680903280483
OpenAlex ID: W2010778123
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description: scientific article; zbMATH DE number 6144872