Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation

DOI10.1016/j.jeconom.2009.05.001zbMath1431.62482OpenAlexW3124620001MaRDI QIDQ2630119

Javier Mencía, Enrique Sentana

Publication date: 25 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.05.001

zbMATH Keywords

maximum likelihoodtail dependenceSortino ratiogeneralised hyperbolic distributionportfolio frontiersspanning tests

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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