Pages that link to "Item:Q993721"
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The following pages link to Asset pricing and portfolio selection based on the multivariate extended skew-student-\(t\) distribution (Q993721):
Displayed 27 items.
- Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data (Q378919) (← links)
- A note on Stein's lemma for multivariate elliptical distributions (Q394113) (← links)
- Multivariate extended skew-\(t\) distributions and related families (Q478207) (← links)
- A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function (Q492800) (← links)
- A proof for the existence of multivariate singular generalized skew-elliptical density functions (Q722655) (← links)
- Black-Litterman model for continuous distributions (Q1622823) (← links)
- Random orthogonal matrix simulation with exact means, covariances, and multivariate skewness (Q1694926) (← links)
- Skew-elliptical distributions with applications in risk theory (Q1707559) (← links)
- Using parametric classification trees for model selection with applications to financial risk management (Q1751885) (← links)
- A Stein type lemma for the multivariate generalized hyperbolic distribution (Q1753607) (← links)
- Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model (Q1945088) (← links)
- Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs (Q2247929) (← links)
- On the multivariate extended skew-normal, normal-exponential, and normal-gamma distributions (Q2320797) (← links)
- Estimation of optimal portfolio weights under parameter uncertainty and user-specified constraints: a perturbation method (Q2320916) (← links)
- Conditional tail risk measures for the skewed generalised hyperbolic family (Q2415969) (← links)
- Fitting asset returns to skewed distributions: are the skew-normal and skew-Student good models? (Q2514604) (← links)
- Mean-variance-skewness efficient surfaces, Stein's lemma and the multivariate extended skew-Student distribution (Q2514710) (← links)
- Flexible Distributions as an Approach to Robustness: The Skew-t Case (Q2963604) (← links)
- A Note On Regions of Given Probability of the Extended Skew-normal Distribution (Q3462379) (← links)
- Portfolio selection with higher moments (Q3568905) (← links)
- A new class of multivariate skew distributions with applications to bayesian regression models (Q4454063) (← links)
- Hedges or safe havens—revisit the role of gold and USD against stock: a multivariate extended skew-<i>t</i>copula approach (Q4554244) (← links)
- Assessing Sectoral Risk Through Skew-Error Capital Asset Pricing Model: Empirical Evidence from Thai Stock Market (Q4558860) (← links)
- Testing for Normality When the Sampled Distribution Is Extended Skew-Normal (Q4561911) (← links)
- Improved Approximation of the Sum of Random Vectors by the Skew Normal Distribution (Q5169738) (← links)
- Discriminating between distributions using feed-forward neural networks (Q5220750) (← links)
- Bayesian analysis of some models that use the asymmetric exponential power distribution (Q5963725) (← links)