Optimal Portfolio Selection Based on Expected Shortfall Under Generalized Hyperbolic Distribution

Budhi Surya () and Ryan Kurniawan ()

Asia-Pacific Financial Markets, 2014, vol. 21, issue 3, 193-236

Abstract: 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. Copyright Springer Japan 2014

Keywords: Generalized Hyperbolic distribution; Expected Shortfall; Portfolio optimization (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s10690-014-9183-x

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