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Title:

Risk Management and Portfolio Selection using α-stable Regime Switching Models

Document type:
Zeitschriftenaufsatz
Author(s):
Olivares, P.; Reuß, A.; Seco, L.; Zagst, R.
Non-TUM Co-author(s):
ja
Cooperation:
international
Abstract:
This article tries to enhance the current Gaussian distribution paradigm for modeling asset returns by emphasizing two points. It proposes a model which captures fat tails and skewness, and takes into account distinct market regimes. Therefore, an alpha-stable regime-switching model is proposed. The implications of this model on asset management are shown. The alpha-stable regime-switching model is employed for applications in risk management and portfolio selection. An empirical study shows tha...     »
Keywords:
Markov switching, regime switching, stable distribution, risk management, portfolio selection
Intellectual Contribution:
Discipline-based Research
Journal title:
Applied Mathematical Sciences
Journal listet in FT50 ranking:
nein
Year:
2016
Journal volume:
10
Journal issue:
12
Pages contribution:
549 - 582
Reviewed:
nein
Language:
en
Fulltext / DOI:
doi:10.12988/ams.2016.512722
Status:
Postprint / reviewed
TUM Institution:
Lehrstuhl für Finanzmathematik
Format:
Text
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Nein
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
Technology:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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