Portfolio optimization under the generalized hyperbolic distribution : optimal allocation, performance and tail behavior
Year of publication: |
2021
|
---|---|
Authors: | Birge, John R. ; Chávez-Bedoya, Luis |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 21.2021, 2, p. 199-219
|
Subject: | Generalized hyperbolic distribution | Mean-variance | Minimum-risk portfolio | Portfolio optimization | Tail density | Theorie | Theory | Portfolio-Management | Portfolio selection | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure | Kapitaleinkommen | Capital income |
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