Journal of Risk
ISSN:
1465-1211 (print)
1755-2842 (online)
Editor-in-chief: Farid AitSahlia
Risk analysis and the NIG distribution
Jostein Lillestøl
Abstract
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.
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