[图书][B] Handbook of heavy-tailed distributions in asset management and risk management

ML Bianchi, SV Stoyanov, GL Tassinari, FJ Fabozzi… - 2019 - World Scientific
After formally introducing the notion of random variable and some related concepts, in this
chapter we look at discrete and absolutely continuous random variables. We focus our …

Modelling crypto asset price dynamics, optimal crypto portfolio, and crypto option valuation

Y Hu, ST Rachev, FJ Fabozzi - arXiv preprint arXiv:1908.05419, 2019 - arxiv.org
Despite being described as a medium of exchange, cryptocurrencies do not have the typical
attributes of a medium of exchange. Consequently, cryptocurrencies are more appropriately …

Portfolio selection with independent component analysis

A Hitaj, L Mercuri, E Rroji - Finance Research Letters, 2015 - Elsevier
We analyze a methodology for portfolio selection based on the independent component
analysis. In this paper parametric and non-parametric approaches are used for capturing the …

Are Smart Beta strategies suitable for hedge fund portfolios?

A Hitaj, G Zambruno - Review of Financial Economics, 2016 - Elsevier
In the equity context different Smart Beta strategies (such as the equally weighted, global
minimum variance, equal risk contribution and maximum diversified ratio) have been …

A welcome to the jungle of continuous-time multivariate non-Gaussian models based on Lévy processes applied to finance

ML Bianchi, A Hitaj, GL Tassinari - Annals of Operations Research, 2022 - Springer
In this paper we review the large and growing literature on continuous-time multivariate non-
Gaussian models based on Lévy processes applied to finance and proposed in the literature …

Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study

G Consigli, A Hitaj, E Mastrogiacomo - Computational Management …, 2019 - Springer
A sensitivity analysis of the impact of cumulative prospect theory (CPT) parameters on a
Mean/Risk efficient frontier is performed through a simulation procedure, assuming a …

[PDF][PDF] Fitting the variance-gamma model: A goodness-of-fit check for emerging markets

A Göncü, MO Karahan, TU Kuzubas - Bogazici Journal of …, 2013 - researchgate.net
Variance-Gamma model is widely used for option pricing; however there has been little
research on the empirical performance of this model for emerging market economies. In this …

Multivariate non-Gaussian models for financial applications

ML Bianchi, A Hitaj, GL Tassinari - arXiv preprint arXiv:2005.06390, 2020 - arxiv.org
In this paper we consider several continuous-time multivariate non-Gaussian models
applied to finance and proposed in the literature in the last years. We study the models …

Global and tail dependence: A differential geometry approach

D Lauria, ST Rachev, AA Trindade - arXiv preprint arXiv:2106.05865, 2021 - arxiv.org
Measures of tail dependence between random variables aim to numerically quantify the
degree of association between their extreme realizations. Existing tail dependence …

On properties of the MixedTS distribution and its multivariate extension

A Hitaj, F Hubalek, L Mercuri… - International Statistical …, 2018 - Wiley Online Library
A review of the univariate MixedTS is given and some new results on the asymptotic tail
behaviour are derived. The multivariate version of the Mixed Tempered Stable, which is a …