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Risk Management and Portfolio Optimization for Volatile Markets

  • Rachev S
  • Racheva-Iotova B
  • Stoyanov S
  • et al.
Springer US, (2010), 493-508
DOI: 10.1007/978-0-387-77439-8_17
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Abstract

We describe a framework for risk estimation and portfolio optimization based on stable distributions and the average value-at-risk risk measure. In contrast to normal distributions, stable distributions capture the fat tails and the asymmetric nature of real-world...

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Rachev, S. T., Racheva-Iotova, B., Stoyanov, S. V., & Fabozzi, F. J. (2010). Risk Management and Portfolio Optimization for Volatile Markets. In Handbook of Portfolio Construction (pp. 493–508). Springer US. https://doi.org/10.1007/978-0-387-77439-8_17

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