Portfolio optimization under multivariate affine generalized hyperbolic distributions
Year of publication: |
2022
|
---|---|
Authors: | Wang, Chou-Wen ; Liu, Kai ; Li, Bin ; Tan, Ken Seng |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 80.2022, p. 49-66
|
Subject: | Expected utility maximization model | Multivariate affine generalized hyperbolic distributions | Portfolio selection | Theorie | Theory | Portfolio-Management | Statistische Verteilung | Statistical distribution | CAPM |
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