Pages that link to "Item:Q2630119"

The following pages link to Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation (Q2630119):

Displaying 27 items.

• Consistent noisy independent component analysis (Q302095) (← links)
• Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data (Q378919) (← links)
• A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function (Q492800) (← links)
• Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function (Q631103) (← links)
• Higher-order comoments and asset returns: evidence from emerging equity markets (Q829162) (← links)
• Asymmetry in tail dependence in equity portfolios (Q1659125) (← links)
• A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection (Q1659170) (← links)
• Location-scale portfolio selection with factor-recentered skew normal asset returns (Q1991942) (← links)
• Stochastic dominance tests (Q2177995) (← links)
• COMFORT: a common market factor non-Gaussian returns model (Q2347735) (← links)
• Multiplying a Gaussian matrix by a Gaussian vector (Q2407493) (← links)
• Sequential estimation of shape parameters in multivariate dynamic models (Q2453083) (← links)
• Mean-variance-skewness efficient surfaces, Stein's lemma and the multivariate extended skew-Student distribution (Q2514710) (← links)
• Portfolio selection with higher moments (Q3568905) (← links)
• The econometrics of mean‐variance efficiency tests: a survey (Q3653356) (← links)
• Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior (Q4991068) (← links)
• Portfolio optimization under a generalized hyperbolic skewed<i>t</i>distribution and exponential utility (Q5001187) (← links)
• COHERENT RISK MEASURES AND NORMAL MIXTURE DISTRIBUTIONS WITH APPLICATIONS IN PORTFOLIO OPTIMIZATION (Q5010072) (← links)
• Backtesting portfolio value‐at‐risk with estimated portfolio weights (Q5135314) (← links)
• Particle learning for Bayesian semi-parametric stochastic volatility model (Q5860957) (← links)
• Independent Factor Autoregressive Conditional Density Model (Q5863555) (← links)
• Portfolio management with higher moments: the cardinality impact (Q6066673) (← links)
• Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions (Q6108270) (← links)
• Efficient portfolios and extreme risks: a Pareto-Dirichlet approach (Q6546994) (← links)
• Bayesian semiparametric Markov switching stochastic volatility model (Q6574607) (← links)
• Is a Normal Copula the Right Copula? (Q6626311) (← links)
• Stochastic Spanning (Q6634889) (← links)