5 papers
Entropic Value-at-Risk parity for tempered stable returns
Jaehyung Choi
We develop Entropic Value-at-Risk (EVaR) parity for tempered stable returns. EVaR-based inverse risk parity (IRP) and equal risk contribution (ERC) portfolios are constructed using…
Entropic Value-at-Risk portfolio optimization for tempered stable Lévy processes
Jaehyung Choi
We develop parametric Entropic Value-at-Risk (EVaR) portfolio optimization for tempered stable Lévy returns. We derive portfolio cumulant-generating functions and weight-dependent…
Information geometry of Lévy processes and financial models
Jaehyung Choi
We develop the information geometry of Lévy processes. Deriving -divergences directly in terms of the Lévy triplets of the Lévy processes, we identify Fisher information matrix…
Hyperbolic decomposition of Dirichlet distance for ARMA models
Jaehyung Choi
We investigate the hyperbolic decomposition of the Dirichlet norm and distance between autoregressive moving average (ARMA) models. With the Kähler information geometry of linear s…
Information geometry of tempered stable processes
Jaehyung Choi
We derive the information geometry of tempered stable processes. We first compute the -divergence between two tempered stable processes. From the divergence, we obtain the Fishe…