Optimal Portfolio Selection Based on Expected Shortfall Under Generalized Hyperbolic Distribution

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...

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Veröffentlicht in:Asia-Pacific financial markets 2014-09, Vol.21 (3), p.193-236
Hauptverfasser: Surya, Budhi Arta, Kurniawan, Ryan
Format: Artikel
Sprache:eng
Schlagworte:
Calibration
Econometrics
Economic Theory/Quantitative Economics/Mathematical Methods
Economics and Finance
Finance
Financial services
International
International Economics
Investment policy
Macroeconomics/Monetary Economics//Financial Economics
Normal distribution
Optimization
Portfolio management
Random variables
Skewness
Studies
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Beschreibung
Zusammenfassung: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.
ISSN:1387-2834
1573-6946
DOI:10.1007/s10690-014-9183-x