Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model

@article{Kim2012MeasuringFR,
  title={Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model},
  author={Y. Kim and R. Giacometti and S. Rachev and F. Fabozzi and D. Mignacca},
  journal={Annals of Operations Research},
  year={2012},
  volume={201},
  pages={325-343}
}
In this paper, we propose a multivariate market model with returns assumed to follow a multivariate normal tempered stable distribution. This distribution, defined by a mixture of the multivariate normal distribution and the tempered stable subordinator, is consistent with two stylized facts that have been observed for asset distributions: fat-tails and an asymmetric dependence structure. Assuming infinitely divisible distributions, we derive closed-form solutions for two important measures… Expand
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