Cryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk
Year of publication: |
2022
|
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Authors: | Kurosaki, Tetsuo ; Kim, Young Shin |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 45.2022, p. 1-8
|
Subject: | Cryptocurrencies | Foster-Hart risk | GARCH modeling | Multivariate normal tempered stable process | Portfolio optimization | Value at risk | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Theorie | Theory | ARCH-Modell | ARCH model | Virtuelle Währung | Virtual currency | Risiko | Risk | Statistische Verteilung | Statistical distribution | Multivariate Analyse | Multivariate analysis | Volatilität | Volatility |
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