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Computing VAR and AVaR in Infinitely Divisible Distributions

Kim, Young Shin - 2009

In this paper we derive closed-form solutions for the cumulative density function and the average value-at-risk for five subclasses of the infinitely divisible distributions: classical tempered stable distribution, Kim-Rachev distribution, modified tempered stable distribution, normal tempered...

Persistent link: https://www.econbiz.de/10013160026

Portfolio selection in the presence of systemic risk

Biglova, Almira; Ortobelli, Sergio; Fabozzi, Frank J. - In: The journal of asset management 15 (2014) 5, pp. 285-299

Persistent link: https://www.econbiz.de/10010476238

Robust portfolio optimization and management

Fabozzi, Frank J.; Kolm, Petter N.; Pachamanova, … - 2007

Persistent link: https://www.econbiz.de/10003555153

The theory and practice of investment management : asset allocation, valuation, portfolio construction, and strategies

Fabozzi, Frank J. (contributor); Markowitz, H. (contributor) - 2011 - 2nd ed (Online-Ausg.)

"An updated guide to the theory and practice of investment management Many books focus on the theory of investment … management and leave the details of the implementation of the theory up to you. This book illustrates how theory is applied in … practice while stressing the importance of the portfolio construction process. The Second Edition of The Theory and Practice of …