Foster-Hart optimization for currency portfolios
Tetsuo Kurosaki, Young Shin Kim
| Year of publication: |
2019
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|---|---|
| Authors: | Kurosaki, Tetsuo ; Kim, Young Shin |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 23.2019, 2, p. 1-15
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| Subject: | average value at risk | Foster-Hart risk | multivariate normal tempered stable distribution | portfolio optimization | value at risk | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Theorie | Theory | Statistische Verteilung | Statistical distribution | Risiko | Risk |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2017-0119 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012054888