This paper investigates the use, in practical financial problems, of the Mixed Tempered Stable distribution both in its univariate and multivariate formulation. In the univariate context, we study the dependence of a given coherent risk measure on the distribution parameters. The latter allows to identify the parameters that seem to have a greater influence on the given measure of risk. The multivariate Mixed Tempered Stable distribution enters in a portfolio optimization problem built considering a real market dataset of seventeen hedge fund indexes. We combine the flexibility of the multivariate Mixed Tempered Stable distribution, in capturing different tail behaviors, with the ability of the ARMA-GARCH model in capturing the time dependence observed in the data.

Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization / A. Hitaj, L. Mercuri, E. Rroji. - In: COMPUTATIONAL MANAGEMENT SCIENCE. - ISSN 1619-697X. - (2018 Apr 23). [Epub ahead of print] [10.1007/s10287-018-0306-0]

Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization

L. Mercuri
;
2018

Abstract

This paper investigates the use, in practical financial problems, of the Mixed Tempered Stable distribution both in its univariate and multivariate formulation. In the univariate context, we study the dependence of a given coherent risk measure on the distribution parameters. The latter allows to identify the parameters that seem to have a greater influence on the given measure of risk. The multivariate Mixed Tempered Stable distribution enters in a portfolio optimization problem built considering a real market dataset of seventeen hedge fund indexes. We combine the flexibility of the multivariate Mixed Tempered Stable distribution, in capturing different tail behaviors, with the ability of the ARMA-GARCH model in capturing the time dependence observed in the data.
mixed tempered stable distribution; sensitivity analysis; portfolio optimization
Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarie
23-apr-2018
23-apr-2018
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2434/571553
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