Foster-Hart optimal portfolios
Year of publication: |
July 2016
|
---|---|
Authors: | Anand, Abhinav ; Li, Tiantian ; Kurosaki, Tetsuo ; Kim, Young Shin |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 68.2016, p. 117-130
|
Subject: | ARMA-GARCH model | Normal tempered stable distribution | Foster-Hart risk | Value-at-Risk (VaR) | Average Value-at-Risk (AVaR) | Reward risk ratio | Theorie | Theory | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Statistische Verteilung | Statistical distribution | Risiko | Risk |
-
Peng, Cheng, (2022)
-
Foster-Hart optimization for currency portfolios
Kurosaki, Tetsuo, (2019)
-
Reconciling negative return skewness with positive time-varying risk premia
Kyriakopoulou, Dimitra, (2022)
- More ...
-
The Equity Risk Posed by the Too-Big-To-Fail Banks : A Foster-Hart Estimation
Anand, Abhinav, (2017)
-
Foster-Hart Optimal Portfolios
Anand, Abhinav, (2017)
-
The equity risk posed by the too-big-to-fail banks : a Foster-Hart estimation
Anand, Abhinav, (2017)
- More ...