Portfolio Selection with Common Correlation Mixture Models

DOI10.1007/978-3-7908-2050-8_4zbMATH Open1154.91600OpenAlexW178792545MaRDI QIDQ3606095FDOQ3606095

Authors: Markus Haas, Stefan Mittnik 

Publication date: 26 February 2009

Published in: Contributions to Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-7908-2050-8_4

Recommendations

• Portfolio optimization when asset returns have the Gaussian mixture distribution
• Portfolio selection in the presence of heavy-tailed asset returns
• Stable mixture GARCH models
• Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
• Asset pricing and portfolio selection based on the multivariate extended skew-student-\(t\) distribution

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Cites Work

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• Autoregressive conditional heteroskedasticity and changes in regime
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• Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
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• Analysis of time series subject to changes in regime
• Dynamic linear models with Markov-switching
• Estimation for Markowitz Efficient Portfolios
• Specification testing in Markov-switching time-series models
• Moments of Markov switching models
• Regime switching for dynamic correlations
• Asymmetric multivariate normal mixture GARCH
• On a Mixture GARCH Time-Series Model

Cited In (4)

• An EM algorithm for singular Gaussian mixture models
• VaR-implied tail-correlation matrices
• Portfolio optimization when asset returns have the Gaussian mixture distribution
• Portfolio return distributions: sample statistics with stochastic correlations

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