Portfolio Selection with Common Correlation Mixture Models

DOI10.1007/978-3-7908-2050-8_4MaRDI QIDQ3606095zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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

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Cited in

(4)

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

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