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.
Value-at-riskcomputationbyfourierinversion with explicit error bounds.Finance Research Letters, 6(2):95–105
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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.