Optimal Portfolio Selection Based on Expected Shortfall Under Generalized Hyperbolic Distribution

被引：5
作者：
Surya B.A. [1 ]
Kurniawan R. [2 ]
机构：
[1] School of Business and Management, Bandung Institute of Technology, Bandung, 40132
[2] University of Zürich/ETH Zürich, Zürich
来源：
Asia-Pacific Financial Markets | 2014年 / 21卷 / 3期
关键词：
Expected Shortfall; Generalized Hyperbolic distribution; Portfolio optimization;
D O I：
10.1007/s10690-014-9183-x
中图分类号：
学科分类号：
摘要：
This paper discusses optimal portfolio selection problems under Expected Shortfall as the risk measure. We employ multivariate Generalized Hyperbolic distribution as the joint distribution for the risk factors of underlying portfolio assets, which include stocks, currencies and bonds. Working under this distribution, we find the optimal portfolio strategy. © 2014 Springer Japan.
引用
收藏
页码：193 / 236
页数：43
相关论文
共 44 条
  • [41] Model-Based Clustering, Classification, and Discriminant Analysis Using the Generalized Hyperbolic Distribution: MixGHD R package
    Tortora, Cristina
    Browne, Ryan P.
    ElSherbiny, Aisha
    Franczak, Brian C.
    McNicholas, Paul D.
    JOURNAL OF STATISTICAL SOFTWARE, 2021, 98 (03): : 1 - 24
  • [42] A Promising Scheme for Portfolio Selection to Gain Pragmatic Pool-based Electricity Market Returns under Uncertain Circumstances
    Wattoo, Waqas Ahmad
    Feng, Donghan
    Yousif, Muhammad
    Tahir, Sohaib
    STUDIES IN INFORMATICS AND CONTROL, 2018, 27 (04): : 431 - 442
  • [43] A time-varying stock portfolio selection model based on optimized PSO-BiLSTM and multi-objective mathematical programming under budget constraints
    Jalil Vaziri
    Dariush Farid
    Mehdi Nazemi Ardakani
    Seyed Mojtaba Hosseini Bamakan
    MohammadAli Shahlaei
    Neural Computing and Applications, 2023, 35 : 18445 - 18470
  • [44] A time-varying stock portfolio selection model based on optimized PSO-BiLSTM and multi-objective mathematical programming under budget constraints
    Vaziri, Jalil
    Farid, Dariush
    Nazemi Ardakani, Mehdi
    Hosseini Bamakan, Seyed Mojtaba
    Shahlaei, MohammadAli
    NEURAL COMPUTING & APPLICATIONS, 2023, 35 (25) : 18445 - 18470
12345