Asset pricing and portfolio selection based on the multivariate extended skew-student-\(t\) distribution

DOI10.1007/s10479-009-0586-4zbMath1233.91112OpenAlexW2097863710MaRDI QIDQ993721

C. J. Adcock

Publication date: 20 September 2010

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-009-0586-4

zbMATH Keywords

multivariate skew-normal distributionmarket modelcapital asset pricing modelutility functionsportfolio selectionefficient frontiermultivariate student distribution

Mathematics Subject Classification ID

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