PORTFOLIO RETURN DISTRIBUTIONS: SAMPLE STATISTICS WITH STOCHASTIC CORRELATIONS
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Publication:5249755
DOI10.1142/S0219024915500120zbMath1337.91074arXiv1308.3961MaRDI QIDQ5249755
Thomas Guhr, Desislava Chetalova, Rudi Schäfer, Thilo A. Schmitt
Publication date: 11 May 2015
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1308.3961
stochastic modelsnonstationaritymarket dynamicsportfolio analysisnon-Gaussian distributionscorrelation modeling
Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
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