Asset pricing and portfolio selection based on the multivariate extended skew-student-\(t\) distribution
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Publication:993721
DOI10.1007/s10479-009-0586-4zbMath1233.91112MaRDI QIDQ993721
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
multivariate skew-normal distribution; market model; capital asset pricing model; utility functions; portfolio selection; efficient frontier; multivariate student distribution
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G70: Statistical methods; risk measures
91G10: Portfolio theory
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