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Document type:
Zeitschriftenaufsatz 
Author(s):
Olivares, P.; Reuß, A.; Seco, L.; Zagst, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
international 
Title:
Risk Management and Portfolio Selection using α-stable Regime Switching Models 
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:
Status:
Postprint / reviewed 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Nein 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
Mission statement:
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