Risk-constrained Kelly portfolios under alpha-stable laws
Niels Wesselhöfft, Wolfgang K. Härdle
| Year of publication: |
2020
|
|---|---|
| Authors: | Wesselhöfft, Niels ; Härdle, Wolfgang |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 55.2020, 3, p. 801-826
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| Subject: | Growth-optimal | Kelly criterion | Protective put | Portfolio optimization | Stable distribution | Value at risk | Expected shortfall | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-019-09913-y [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012223676