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Research Papers

Efficient and robust portfolio optimization in the multivariate Generalized Hyperbolic framework

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Pages 1503-1516 | Received 14 Oct 2007, Accepted 18 May 2009, Published online: 27 Sep 2011

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Yifu Jiang, Jose Olmo & Majed Atwi. (2024) Dynamic robust portfolio selection under market distress. The North American Journal of Economics and Finance 69, pages 102037.
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Victor H. Lachos, Manuel Galea, Camila Zeller & Marcos O. Prates. (2023) Likelihood‐based inference for linear mixed‐effects models using the generalized hyperbolic distribution. Stat 12:1.
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Nuerxiati Abudurexiti, Kai He, Dongdong Hu, Svetlozar T. Rachev, Hasanjan Sayit & Ruoyu Sun. (2023) Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean–variance mixture models. Annals of Operations Research.
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Simon A Broda & Juan Arismendi Zambrano. (2021) On quadratic forms in multivariate generalized hyperbolic random vectors. Biometrika 108:2, pages 413-424.
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S.M. Mirsadeghpour Zoghi, M. Sanei, G. Tohidi, Sh. Banihashemi & N. Modarresi. (2021) The effect of underlying distribution of asset returns on efficiency in DEA models. Journal of Intelligent & Fuzzy Systems 40:5, pages 10273-10283.
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Leovardo Mata Mata, José Antonio Núñez Mora & Ramona Serrano Bautista. (2021) Multivariate Distribution in the Stock Markets of Brazil, Russia, India, and China. SAGE Open 11:2, pages 215824402110095.
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Panos Xidonas, Ralph Steuer & Christis Hassapis. (2020) Robust portfolio optimization: a categorized bibliographic review. Annals of Operations Research 292:1, pages 533-552.
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Joseph H.T. Kim & So-Yeun Kim. (2019) Tail risk measures and risk allocation for the class of multivariate normal mean–variance mixture distributions. Insurance: Mathematics and Economics 86, pages 145-157.
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Yue Shi, Chi Tim Ng & Ka-Fai Cedric Yiu. (2018) Portfolio selection based on asymmetric Laplace distribution, coherent risk measure, and expectation-maximization estimation. Quantitative Finance and Economics 2:4, pages 776-797.
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Marco Gambacciani & Marc S. Paolella. (2017) Robust normal mixtures for financial portfolio allocation. Econometrics and Statistics 3, pages 91-111.
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Virginie Konlack Socgnia & Diane Wilcox. (2014) A Comparison of Generalized Hyperbolic Distribution Models for Equity Returns. Journal of Applied Mathematics 2014, pages 1-15.
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Maria Grazia Scutellà & Raffaella Recchia. (2013) Robust portfolio asset allocation and risk measures. Annals of Operations Research 204:1, pages 145-169.
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Simon A. Broda & Juan Arismendi Zambrano. (2019) Partial Moments for Quadratic Forms in Non-Gaussian Random Vectors: A Parametric Approach. SSRN Electronic Journal.
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Marc S. Paolella & Pawel Polak. (2015) Portfolio Selection with Active Risk Monitoring. SSRN Electronic Journal.
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Xiang Shi & Aaron Kim. (2015) Coherent Risk Measure and Normal Mixture Distributions with Application in Portfolio Optimization and Risk Allocation. SSRN Electronic Journal.
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Simon A. Broda. (2013) Tail Probabilities and Partial Moments for Quadratic Forms in Multivariate Generalized Hyperbolic Random Vectors. SSRN Electronic Journal.
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