Search Results - subject:"Multivariate normal tempered stable distribution"

Foster-Hart optimization for currency portfolios

Kurosaki, Tetsuo; Kim, Young Shin - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 2, pp. 1-15

Persistent link: https://www.econbiz.de/10012054888

Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model

Kim, Young Shin; Giacometti, Rosella; Rachev, Svetlozar T. - 2012

In this paper, we propose a multivariate market model with returns assumed to follow a multivariate normal tempered … stable distribution. This distribution, defined by a mixture of the multivariate normal distribution and the tempered stable …

Persistent link: https://www.econbiz.de/10010310075

Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model

Kim, Young Shin; Giacometti, Rosella; Rachev, Svetlozar T. - Fakultät für Wirtschaftswissenschaften, Karlsruhe … - 2012

Persistent link: https://www.econbiz.de/10010954935

Applied mean-ETL optimization in using earnings forecasts

Shao, Barret Pengyuan; Rachev, Svetlozar T.; Mu, Yu - In: International journal of forecasting 31 (2015) 2, pp. 561-567

Persistent link: https://www.econbiz.de/10011474402

Mean-CoAVaR optimization for global banking portfolios

Kurosaki, Tetsuo; Kim, Young Shin - In: Investment management and financial innovations 10 (2013) 2, pp. 15-20

Persistent link: https://www.econbiz.de/10010201114