Portfolio management with stable distributions

被引：13
|
作者：
Rachev, S
Han, SK
机构：
[1] Univ Karlsruhe, Inst Stat & Math Econ, D-76128 Karlsruhe, Germany
[2] Univ Calif Santa Barbara, Dept Stat & Appl Probabil, Santa Barbara, CA 93106 USA
来源：
MATHEMATICAL METHODS OF OPERATIONS RESEARCH | 2000年 / 51卷 / 02期
关键词：
stable ditributions; portfolio management; optimization;
D O I：
10.1007/s001860050092
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
The aim of this short review is to outline the main directions of stable Paretian modeling in portfolio management.
引用
收藏
页码：341 / 352
页数：12
相关论文
共 50 条
  • [1] Portfolio management with stable distributions
    Svetlozar Rachev
    Seonkoo Han
    Mathematical Methods of Operations Research, 2000, 51 : 341 - 352
  • [2] Risk management and dynamic portfolio selection with stable Paretian distributions
    Ortobelli, Sergio
    Rachev, Svetlozar T.
    Fabozzi, Frank J.
    JOURNAL OF EMPIRICAL FINANCE, 2010, 17 (02) : 195 - 211
  • [3] A NOTE ON OPTIMAL PORTFOLIO SELECTION UNDER STABLE PARETIAN DISTRIBUTIONS
    CHEUNG, CS
    KWAN, CCY
    YIP, PCY
    DECISION SCIENCES, 1985, 16 (04) : 435 - 441
  • [4] Portfolio management under stable distribution hypothesis
    Yin, Y
    Zheng, WM
    INFORMATION INTELLIGENCE AND SYSTEMS, VOLS 1-4, 1996, : 2345 - 2349
  • [5] Portfolio Management by Normal Mean-Variance Mixture Distributions
    Banihashemi, Shokoofeh
    2019 3RD INTERNATIONAL CONFERENCE ON DATA SCIENCE AND BUSINESS ANALYTICS (ICDSBA 2019), 2019, : 218 - 222
  • [6] Sparse and stable international portfolio optimization and currency risk management
    Burkhardt, Raphael
    Ulrych, Urban
    JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2023, 139
  • [7] Dynamic portfolio insurance strategies: risk management under Johnson distributions
    Naguez, Naceur
    ANNALS OF OPERATIONS RESEARCH, 2018, 262 (02) : 605 - 629
  • [8] Dynamic portfolio insurance strategies: risk management under Johnson distributions
    Naceur Naguez
    Annals of Operations Research, 2018, 262 : 605 - 629
  • [9] JOINT DISTRIBUTIONS OF PORTFOLIO LOSSES AND EXOTIC PORTFOLIO PRODUCTS
    Epple, Friedel
    Morgan, Sam
    Schloegl, Lutz
    INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2007, 10 (04) : 733 - 748
  • [10] Stochastic programming and stable distributions in asset-liability management
    Grebeck, Michael J.
    Rachev, Svetlozar T.
    Fabozzi, Frank J.
    JOURNAL OF RISK, 2009, 12 (02): : 29 - 47
12345