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Titel:

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

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Olivares, P.; Reuß, A.; Seco, L.; Zagst, R.
Nicht-TUM Koautoren:
ja
Kooperation:
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...     »
Stichworte:
Markov switching, regime switching, stable distribution, risk management, portfolio selection
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
Applied Mathematical Sciences
Journal gelistet in FT50 Ranking:
nein
Jahr:
2016
Band / Volume:
10
Heft / Issue:
12
Seitenangaben Beitrag:
549 - 582
Reviewed:
nein
Sprache:
en
Volltext / DOI:
doi:10.12988/ams.2016.512722
Status:
Postprint / reviewed
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Format:
Text
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Nein
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
Technology:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
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