Stressed portfolio optimization with semiparametric method

Stressed portfolio optimization with semiparametric method

Abstract Tail risk is a classic topic in stressed portfolio optimization to treat unprecedented risks, while the traditional mean–variance approach may fail to perform well. This study proposes an innovative semiparametric method consisting of two modeling components: the nonparametric estimation an...

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Bibliographic Details
Main Authors: Chuan-Hsiang Han, Kun Wang
Format: Article
Language:English
Published: SpringerOpen 2022-03-01
Series:Financial Innovation
Subjects:
Portfolio optimization
Tail risk
Semiparametric method
Kernel method
Copula method
Risk measure
Online Access:https://doi.org/10.1186/s40854-022-00333-w

Internet

https://doi.org/10.1186/s40854-022-00333-w

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