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Tail estimation and mean-VaR portfolio selection in markets subject to financial instability
Consigli, Giorgio - In: Journal of banking & finance 26 (2002) 7, pp. 1355-1382
Persistent link: https://www.econbiz.de/10001688519
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Estimation of tail risk and portfolio optimisation with respect to extreme measures
Consigli, Giorgio - In: Risk measures for the 21st century, (pp. 365-401). 2004
Persistent link: https://www.econbiz.de/10002081634
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Optimal hedge fund allocation with improved estimates for coskewness and cokurtosis parameters
Hitaj, Asmerilda; Martellini, Lionel; Zambruno, Giovanni - In: The journal of alternative investments 14 (2011/12) 3, pp. 6-16
Persistent link: https://www.econbiz.de/10009501188
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Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization
Hitaj, Asmerilda; Mercuri, Lorenzo; Rroji, Edit - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 71-95
Persistent link: https://www.econbiz.de/10011993423
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Portfolio selection with independent component analysis
Hitaj, Asmerilda; Mercuri, Lorenzo; Rroji, Edit - In: Finance research letters 15 (2015), pp. 146-159
Persistent link: https://www.econbiz.de/10011553028