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Wesselhöfft et al., 2020 - Google Patents

Risk-Constrained Kelly portfolios under alpha-stable laws

Wesselhöfft et al., 2020

Document ID
5938372610948620939
Author
Wesselhöfft N
Härdle W
Publication year
Publication venue
Computational Economics

External Links

Snippet

This paper provides a detailed framework for modeling portfolios, achieving the highest growth rate under risk constraints such as value at risk (VaR) and expected shortfall (ES) in the presence of α-stable laws. Although the maximization of the expected logarithm of …
Continue reading at link.springer.com (other versions)

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    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
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