most citedCryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk

14 citations · 14 across the 1 of their papers we have counts for

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1 paper

q-fin.PM2020★ 14 cited

Cryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk

Tetsuo Kurosaki, Young Shin Kim

We study portfolio optimization of four major cryptocurrencies. Our time series model is a generalized autoregressive conditional heteroscedasticity (GARCH) model with multivariate…