Forward-looking portfolio selection with multivariate non-Gaussian models-Reference-Cited by-同舟云学术

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Forward-looking portfolio selection with multivariate non-Gaussian models

Published:2020-04-20 Issue:10 Volume:20 Page:1645-1661
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Bianchi Michele Leonardo¹,Tassinari Gian Luca²

Affiliation:

1. Regulation and Macroprudential Analysis Directorate, Bank of Italy, Via Milano 53, Rome 00184, Italy

2. Department of Economics, Department of Statistical Sciences “Paolo Fortunati”, and Department of Management, University of Bologna, Piazza Scaravilli, 2, Bologna 40126, Italy

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2020.1733057

Cited by 10 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Option Pricing and Portfolio Optimization under a Multi-Asset Jump-Diffusion Model with Systemic Risk;Risks;2023-12-13

2. Assessing and forecasting the market risk of bank securities holdings: a data-driven approach;Risk Management;2023-10-03

3. Non-Gaussian models for CoVaR estimation;International Journal of Forecasting;2023-01

4. A welcome to the jungle of continuous-time multivariate non-Gaussian models based on Lévy processes applied to finance;Annals of Operations Research;2022-09-20

5. Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model;Annals of Operations Research;2022-03-09

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