The Generalized Stein/Rubinstein Covariance Formula and Its Application to Estimate Real Systematic Risk

DOI10.1287/MNSC.34.10.1266zbMATH Open0655.62054OpenAlexW2022724130MaRDI QIDQ3802425FDOQ3802425

Authors:

Publication date: 1988

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.34.10.1266

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zbMATH Keywords

resolventSobolev spacescapital asset pricing modelcoercivity estimatesmultivariate normal random variables

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Multivariate analysis (62H99) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (2)

• General Stein-Type Covariance Decompositions with Applications to Insurance and Finance
• The perfect marriage and much more: combining dimension reduction, distance measures and covariance

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