Optimal portfolio selection based on expected shortfall under Generalized Hyperbolic distribution
Budhi Arta Surya; Ryan Kurniawan
| Year of publication: |
2014
|
|---|---|
| Authors: | Budhi Arta Surya ; Kurniawan, Ryan |
| Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 21.2014, 3, p. 193-236
|
| Subject: | Generalized Hyperbolic distribution | Expected Shortfall | Portfolio optimization | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Theorie | Theory | Statistische Verteilung | Statistical distribution |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010511588