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.
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页码：193 / 236
页数：43
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