14 citations · 40 across the 13 of their papers we have counts for
5 papers · 1 filter
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 Multivariate Regime Switching GARCH Model with Normal Tempered Stable Innovation
Cheng Peng, Young Shin Kim, Stefan Mittnik
This paper uses simulation-based portfolio optimization to mitigate the left tail risk of the portfolio. The contribution is twofold. (i) We propose the Markov regime-switching GAR…
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…
Tempered Stable Processes with Time Varying Exponential Tails
Young Shin Kim, Kum-Hwan Roh, Raphael Douady
In this paper, we introduce a new time series model having a stochastic exponential tail. This model is constructed based on the Normal Tempered Stable distribution with a time-var…
Option Pricing in Markets with Informed Traders
Yuan Hu, Abootaleb Shirvani, Stoyan Stoyanov +3
The objective of this paper is to introduce the theory of option pricing for markets with informed traders within the framework of dynamic asset pricing theory. We introduce new mo…