Im, Ji Jung; Lim, Hyun Soo; Choi, Sung sub; Nikitin, Denis - In: Annals of Economics and Finance 8 (2007) 2, pp. 305-312
We propose a portfolio selection model based on a generalized hyperbolic predictive distribution. This distribution … calculated under the predictive distribution. We demonstrate the performance of the new approach by applying it to simulated and …