Elliptically Contoured Models in Statistics and Portfolio Theory
From MaRDI portal
Publication:2840351
DOI10.1007/978-1-4614-8154-6zbMath1306.62028OpenAlexW269863884MaRDI QIDQ2840351
Taras Bodnar, T. Varga, Arjun K. Gupta
Publication date: 18 July 2013
Full work available at URL: https://doi.org/10.1007/978-1-4614-8154-6
Multivariate analysis (62H99) Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Probability distributions: general theory (60E05) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Characterization and structure theory of statistical distributions (62E10) Portfolio theory (91G10)
Related Items (58)
Direct shrinkage estimation of large dimensional precision matrix ⋮ Optimal decision for the market graph identification problem in a sign similarity network ⋮ Uncertainty quantification for the family-wise error rate in multivariate copula models ⋮ How risky is the optimal portfolio which maximizes the Sharpe ratio? ⋮ A test for the global minimum variance portfolio for small sample and singular covariance ⋮ Two new matrix-variate distributions with application in model-based clustering ⋮ Tail conditional moments for elliptical and log-elliptical distributions ⋮ CLT for linear spectral statistics of high-dimensional sample covariance matrices in elliptical distributions ⋮ Robust identification in random variable networks ⋮ Reliability of maximum spanning tree identification in correlation-based market networks ⋮ Robustness of Sign Correlation in Market Network Analysis ⋮ On the Simes inequality in elliptical models ⋮ A test on the location of the tangency portfolio on the set of feasible portfolios ⋮ A new class of symmetric distributions including the elliptically symmetric logistic ⋮ Unnamed Item ⋮ Distribution of the product of a Wishart matrix and a normal vector ⋮ Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty ⋮ Sharing the value‐at‐risk under distributional ambiguity ⋮ Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions ⋮ Matrix variate Birnbaum-Saunders distribution under elliptical models ⋮ MULTIPLE TESTING OF SIGN SYMMETRY FOR STOCK RETURN DISTRIBUTIONS ⋮ Distribution of matrix quadratic forms under skew-normal settings ⋮ Consistency factor for the MCD estimator at the Student-\(t\) distribution ⋮ Quantile modeling through multivariate log‐normal/independent linear regression models with application to newborn data ⋮ Robust factored principal component analysis for matrix-valued outlier accommodation and detection ⋮ Addressing non-normality in multivariate analysis using the \(t\)-distribution ⋮ Uncertain stochastic ridge estimation in partially linear regression models with elliptically distributed errors ⋮ Scale and shape mixtures of matrix variate extended skew normal distributions ⋮ Bayesian factor analysis with uncertain functional constraints about factor loadings ⋮ A bootstrap method for spectral statistics in high-dimensional elliptical models ⋮ Exact likelihood-free Markov chain Monte Carlo for elliptically contoured distributions ⋮ Noninformative Bayesian inference for heterogeneity in a generalized marginal random effects meta-analysis ⋮ Discriminant analysis in small and large dimensions ⋮ Editorial ⋮ Comparison of different approaches for dose response analysis ⋮ High-dimensional covariance matrices in elliptical distributions with application to spherical test ⋮ New results on truncated elliptical distributions ⋮ BAYESIAN INFERENCE FOR THE TANGENT PORTFOLIO ⋮ Objective Bayesian inference for a generalized marginal random effects model ⋮ Statistical inference for the tangency portfolio in high dimension ⋮ An $\ell_{\infty}$ Eigenvector Perturbation Bound and Its Application to Robust Covariance Estimation ⋮ Robust surveillance of covariance matrices using a single observation ⋮ Distribution of the product of a singular Wishart matrix and a normal vector ⋮ Discussion of “Birnbaum‐Saunders distribution: A review of models, analysis, and applications” by N. Balakrishnan and D. Kundu ⋮ Kick-one-out-based variable selection method for Euclidean distance-based classifier in high-dimensional settings ⋮ Robust multivariate control charts based on Birnbaum–Saunders distributions ⋮ Bayesian inference of the multi-period optimal portfolio for an exponential utility ⋮ Exact and asymptotic tests on a factor model in low and large dimensions with applications ⋮ Quantile-based optimal portfolio selection ⋮ On the product of a singular Wishart matrix and a singular Gaussian vector in high dimension ⋮ The distribution of the Liu-type estimator of the biasing parameter in elliptically contoured models ⋮ Box-Cox elliptical distributions with application ⋮ Tangency portfolio weights for singular covariance matrix in small and large dimensions: estimation and test theory ⋮ A note on the coefficients of elliptical random variables ⋮ Stochastic orderings of multivariate elliptical distributions ⋮ On modeling the correlation as an additional parameter in random effects model ⋮ Higher order moments of the estimated tangency portfolio weights ⋮ Matrix variate slash distribution
This page was built for publication: Elliptically Contoured Models in Statistics and Portfolio Theory
