Optimal Portfolio Selection Based on Expected Shortfall Under Generalized Hyperbolic Distribution |
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| Authors: | Budhi Arta Surya Ryan Kurniawan |
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| Affiliation: | 1. School of Business and Management, Bandung Institute of Technology, Jln. Ganesha 10, Bandung?, 40132, Indonesia
2. University of Zürich/ETH Zürich, Zürich, Switzerland
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| Abstract: | This paper discusses optimal portfolio selection problems under Expected Shortfall as the risk measure. We employ multivariate Generalized Hyperbolic distribution as the joint distribution for the risk factors of underlying portfolio assets, which include stocks, currencies and bonds. Working under this distribution, we find the optimal portfolio strategy. |
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