Optimal Portfolio Selection Based on Expected Shortfall Under Generalized Hyperbolic Distribution

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. Copyright Springer Japan 2014

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Year of publication:	2014
Authors:	Surya, Budhi ; Kurniawan, Ryan
Published in:	Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 21.2014, 3, p. 193-236
Publisher:	Springer
Subject:	Generalized Hyperbolic distribution \| Expected Shortfall \| Portfolio optimization

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010959296