Explicit portfolio weights are derived for variance minimization and VaR approximation under skew-elliptical t returns, with numerical optimization for improved VaR results and comparison to symmetric t weights.
Numericalanalysisforspreadoptionpricingmodelofmarkets with finite liquidity: Full feedback model.Applied Mathematics & Information Sciences, 10 (4):1271–1281, 2016
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Optimal Option Portfolios for Skew-Elliptical t Returns
Explicit portfolio weights are derived for variance minimization and VaR approximation under skew-elliptical t returns, with numerical optimization for improved VaR results and comparison to symmetric t weights.