Portfolio optimization under multivariate affine generalized hyperbolic distributions
Chou-Wen Wang, Kai Liu, Bin Li, Ken Seng Tan
| Year of publication: |
2022
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|---|---|
| Authors: | Wang, Chou-Wen ; Liu, Kai ; Li, Bin ; Ken Seng Tan |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 80.2022, p. 49-66
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| Subject: | Expected utility maximization model | Multivariate affine generalized hyperbolic distributions | Portfolio selection | Portfolio-Management | Theorie | Theory | Statistische Verteilung | Statistical distribution | Erwartungsnutzen | Expected utility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2022.02.053 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013341737