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 50 条
  • [41] A simple nonparametric approach to low-dimension, shortfall-based portfolio selection
    Haley, M. Ryan
    FINANCE RESEARCH LETTERS, 2008, 5 (03) : 183 - 190
  • [42] Quantile-based optimal portfolio selection
    Bodnar, Taras
    Lindholm, Mathias
    Thorsen, Erik
    Tyrcha, Joanna
    COMPUTATIONAL MANAGEMENT SCIENCE, 2021, 18 (03) : 299 - 324
  • [43] Comonotonic approximations for a generalized provisioning problem with application to optimal portfolio selection
    Van Weert, Koen
    Dhaene, Jan
    Goovaerts, Marc
    JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2011, 235 (10) : 3245 - 3256
  • [44] A Generalized Measure for the Optimal Portfolio Selection Problem and its Explicit Solution
    Landsman, Zinoviy
    Makov, Udi
    Shushi, Tomer
    RISKS, 2018, 6 (01):
  • [45] Bias-variance trade-off in portfolio optimization under expected shortfall with l2 regularization
    Papp, Gabor
    Caccioli, Fabio
    Kondor, Imre
    JOURNAL OF STATISTICAL MECHANICS-THEORY AND EXPERIMENT, 2019,
  • [46] An autoregressive model based on the generalized hyperbolic distribution
    Karttunen, Henri
    SCANDINAVIAN JOURNAL OF STATISTICS, 2020, 47 (03) : 787 - 816
  • [47] A portfolio stock selection model based on expected utility, entropy and variance
    Brito, Irene
    EXPERT SYSTEMS WITH APPLICATIONS, 2023, 213
  • [48] A NOTE ON OPTIMAL PORTFOLIO SELECTION UNDER STABLE PARETIAN DISTRIBUTIONS
    CHEUNG, CS
    KWAN, CCY
    YIP, PCY
    DECISION SCIENCES, 1985, 16 (04) : 435 - 441
  • [49] OPTIMAL PORTFOLIO SELECTION UNDER INSTITUTIONAL PROCEDURES FOR SHORT SELLING
    KWAN, CCY
    JOURNAL OF BANKING & FINANCE, 1995, 19 (05) : 871 - 889
  • [50] OPTIMAL PORTFOLIO SELECTION UNDER VANISHING FIXED TRANSACTION COSTS
    Christensen, Soeren
    Irle, Albrecht
    Ludwig, Andreas
    ADVANCES IN APPLIED PROBABILITY, 2017, 49 (04) : 1116 - 1143
12345