Navideh Modarresi
mathematics,facully of mathemaics and computer science, Allameh tabataba'i Univercity,Tehran,iran
[ 1 ] - Robust Portfolio Optimization with risk measure CVAR under MGH distribution in DEA models
Financial returns exhibit stylized facts such as leptokurtosis, skewness and heavy-tailness. Regarding this behavior, in this paper, we apply multivariate generalized hyperbolic (mGH) distribution for portfolio modeling and performance evaluation, using conditional value at risk (CVaR) as a risk measure and allocating best weights for portfolio selection. Moreover, a robust portfolio optimizati...
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