14 citations · 40 across the 13 of their papers we have counts for
4 papers · 1 filter
Portfolio Optimization with Relative Tail Risk
Young Shin Kim
This paper proposes analytic forms of portfolio CoVaR and CoCVaR on the normal tempered stable market model. Since CoCVaR captures the relative risk of the portfolio with respect t…
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…
Portfolio Optimization on the Dispersion Risk and the Asymmetric Tail Risk
Young Shin Kim
In this paper, we propose a market model with returns assumed to follow a multivariate normal tempered stable distribution defined by a mixture of the multivariate normal distribut…
Reward-risk momentum strategies using classical tempered stable distribution
Jaehyung Choi, Young Shin Kim, Ivan Mitov
We implement momentum strategies using reward-risk measures as ranking criteria based on classical tempered stable distribution. Performances and risk characteristics for the alter…