Pages that link to "Item:Q2630119"
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The following pages link to Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation (Q2630119):
Displayed 23 items.
- Consistent noisy independent component analysis (Q302095) (← links)
- 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 closed-form solution of the multi-period portfolio choice problem for a quadratic utility function (Q492800) (← links)
- Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function (Q631103) (← links)
- Higher-order comoments and asset returns: evidence from emerging equity markets (Q829162) (← links)
- Asymmetry in tail dependence in equity portfolios (Q1659125) (← links)
- A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection (Q1659170) (← links)
- Location-scale portfolio selection with factor-recentered skew normal asset returns (Q1991942) (← links)
- Stochastic dominance tests (Q2177995) (← links)
- COMFORT: a common market factor non-Gaussian returns model (Q2347735) (← links)
- Multiplying a Gaussian matrix by a Gaussian vector (Q2407493) (← links)
- Sequential estimation of shape parameters in multivariate dynamic models (Q2453083) (← links)
- Mean-variance-skewness efficient surfaces, Stein's lemma and the multivariate extended skew-Student distribution (Q2514710) (← links)
- Portfolio selection with higher moments (Q3568905) (← links)
- The econometrics of mean‐variance efficiency tests: a survey (Q3653356) (← links)
- Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior (Q4991068) (← links)
- Portfolio optimization under a generalized hyperbolic skewed<i>t</i>distribution and exponential utility (Q5001187) (← links)
- COHERENT RISK MEASURES AND NORMAL MIXTURE DISTRIBUTIONS WITH APPLICATIONS IN PORTFOLIO OPTIMIZATION (Q5010072) (← links)
- Backtesting portfolio value‐at‐risk with estimated portfolio weights (Q5135314) (← links)
- Particle learning for Bayesian semi-parametric stochastic volatility model (Q5860957) (← links)
- Independent Factor Autoregressive Conditional Density Model (Q5863555) (← links)
- Portfolio management with higher moments: the cardinality impact (Q6066673) (← links)
- Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions (Q6108270) (← links)