The Journal of Risk · 2000 · 40 citations · 0 references
ManagementFinanceRisk ManagementFinancial EconomicsPortfolio ManagementRisk AnalysisFinancial RiskMarket RiskPortfolio Risk ManagementPortfolio TheoryRisk MeasurementRisk-return AnalysisGaussian DistributionsPortfolio Choice TheoryTail RiskTail Risk Modeling
ABSTRACT The normal inverse Gaussian (NIG) distribution introduced by Barndorff-Nielsen (1997) is a promising alternative for modeling financial data exhibiting skewness and fat tails. In this paper, risk analysis and portfolio choice are discussed in a NIG context.