Asset pricing and portfolio selection based on the multivariate extended skew-student-\(t\) distribution (Q993721)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asset pricing and portfolio selection based on the multivariate extended skew-student-\(t\) distribution |
scientific article |
Statements
Asset pricing and portfolio selection based on the multivariate extended skew-student-\(t\) distribution (English)
0 references
20 September 2010
0 references
capital asset pricing model
0 references
efficient frontier
0 references
market model
0 references
multivariate skew-normal distribution
0 references
multivariate student distribution
0 references
portfolio selection
0 references
utility functions
0 references
