[图书][B] Handbook of heavy-tailed distributions in asset management and risk management
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 …
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
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 …
attributes of a medium of exchange. Consequently, cryptocurrencies are more appropriately …
Portfolio selection with independent component analysis
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 …
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 …
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
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 …
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
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 …
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
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 …
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 …
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 …
degree of association between their extreme realizations. Existing tail dependence …
On properties of the MixedTS distribution and its multivariate extension
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 …
behaviour are derived. The multivariate version of the Mixed Tempered Stable, which is a …