Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation (Q2630119)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation |
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Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation (English)
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25 July 2016
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generalised hyperbolic distribution
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maximum likelihood
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portfolio frontiers
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Sortino ratio
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spanning tests
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tail dependence
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