Mean-variance-skewness efficient surfaces, Stein's lemma and the multivariate extended skew-Student distribution
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Publication:2514710
DOI10.1016/j.ejor.2013.07.011zbMath1304.91174OpenAlexW2102917145WikidataQ124985992 ScholiaQ124985992MaRDI QIDQ2514710
Publication date: 3 February 2015
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2013.07.011
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Quadratic programming (90C20) Portfolio theory (91G10)
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