Entropic Value-at-Risk portfolio optimization for tempered stable Lévy processes

By Jaehyung Choi

Published 2026-08-18

Everscope rating

1505.2

Relevance to quantitative trading

8 / 10

Implementation complexity

8 / 10

Reproducibility

3 / 5

About this paper

Methodology: Parametric EVaR Portfolio Optimization under Tempered Stable Lévy Returns. Problem types: Portfolio Optimization, Risk Management, Optimization, Density Estimation.

arXiv:2608.18022 · Paper rankings

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