Risk parity for Mixed Tempered Stable distributed sources of risk
Sign Up to like & getrecommendations! Published in 2018 at "Annals of Operations Research"
DOI: 10.1007/s10479-016-2394-y
Abstract: In this paper we discuss a detailed methodology for dealing with Risk parity in a parametric context. In particular, we use the Independent Component Analysis for a linear decomposition of portfolio risk factors. Each Independent… read more here.
Keywords: risk parity; risk; mixed tempered; tempered stable ... See more keywords
Fractional Brownian Motion Delayed by Tempered and Inverse Tempered Stable Subordinators
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DOI: 10.1007/s11009-018-9648-x
Abstract: In recent years subordinated processes have been widely considered in the literature. These processes not only have wide applications but also have interesting theoretical properties. In this paper we consider fractional Brownian motion (FBM) time-changed… read more here.
Keywords: tempered stable; inverse tempered; fractional brownian; motion delayed ... See more keywords
Multi-objective portfolio optimization under tempered stable Lévy distribution with Copula dependence
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DOI: 10.1016/j.frl.2020.101506
Abstract: Abstract Taking into account the leptokurtosis nature of financial returns distribution and the non-linear dependence structure of the underlying assets variables in portfolio, the tempered stable Levy distribution and the Copula function (TS Copula) are… read more here.
Keywords: portfolio; tempered stable; multi objective; optimization ... See more keywords