Distribución hiperbólica generalizada: una aplicación en la selección de portafolios y en la cuantificación de medidas de riesgo de mercado Thesis

short description

  • Master's thesis

Thesis author

  • Alayón González, José

abstract

  • In this paper, the Generalized Hyperbolic Distribution is used in the portfolio selection with higher moments. Thereafter a comparative scheme is showed to determinate the advance with regard to Markowitz Portfolio Selection.

publication date

  • 2014-08-17

keywords

  • Asset Allocation
  • Conditional Value at Risk
  • Expectation
  • Generalized Hyperbolic Distribution
  • Markowitz Portfolio Selection
  • Multi-cicle
  • Portfolio Selection
  • Risk Management
  • Robust Portfolio selection
  • Worse Case Conditional Value at Risk
  • and Conditional Estimation Method

Document Id

  • 60b050a7-9470-455d-a6d2-1e75fabf24c0