Pages that link to "Item:Q993721"

The following pages link to Asset pricing and portfolio selection based on the multivariate extended skew-student-\(t\) distribution (Q993721):

Displaying 39 items.

• 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 note on Stein's lemma for multivariate elliptical distributions (Q394113) (← links)
• Multivariate extended skew-\(t\) distributions and related families (Q478207) (← links)
• A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function (Q492800) (← links)
• A proof for the existence of multivariate singular generalized skew-elliptical density functions (Q722655) (← links)
• Black-Litterman model for continuous distributions (Q1622823) (← links)
• Random orthogonal matrix simulation with exact means, covariances, and multivariate skewness (Q1694926) (← links)
• Skew-elliptical distributions with applications in risk theory (Q1707559) (← links)
• Using parametric classification trees for model selection with applications to financial risk management (Q1751885) (← links)
• A Stein type lemma for the multivariate generalized hyperbolic distribution (Q1753607) (← links)
• Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model (Q1945088) (← links)
• Some properties of the multivariate generalized hyperbolic laws (Q2023836) (← links)
• A formulation for continuous mixtures of multivariate normal distributions (Q2048124) (← links)
• Quantile-based optimal portfolio selection (Q2051167) (← links)
• An overview on the progeny of the skew-normal family -- a personal perspective (Q2062793) (← links)
• Moments of the doubly truncated selection elliptical distributions with emphasis on the unified multivariate skew-\(t\) distribution (Q2078582) (← links)
• Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs (Q2247929) (← links)
• On the multivariate extended skew-normal, normal-exponential, and normal-gamma distributions (Q2320797) (← links)
• Estimation of optimal portfolio weights under parameter uncertainty and user-specified constraints: a perturbation method (Q2320916) (← links)
• Conditional tail risk measures for the skewed generalised hyperbolic family (Q2415969) (← links)
• Fitting asset returns to skewed distributions: are the skew-normal and skew-Student good models? (Q2514604) (← links)
• Mean-variance-skewness efficient surfaces, Stein's lemma and the multivariate extended skew-Student distribution (Q2514710) (← links)
• A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures (Q2665869) (← links)
• Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model (Q2673808) (← links)
• Flexible Distributions as an Approach to Robustness: The Skew-t Case (Q2963604) (← links)
• A Note On Regions of Given Probability of the Extended Skew-normal Distribution (Q3462379) (← links)
• Portfolio selection with higher moments (Q3568905) (← links)
• A new class of multivariate skew distributions with applications to bayesian regression models (Q4454063) (← links)
• Hedges or safe havens—revisit the role of gold and USD against stock: a multivariate extended skew-<i>t</i>copula approach (Q4554244) (← links)
• Assessing Sectoral Risk Through Skew-Error Capital Asset Pricing Model: Empirical Evidence from Thai Stock Market (Q4558860) (← links)
• Testing for Normality When the Sampled Distribution Is Extended Skew-Normal (Q4561911) (← links)
• Some Computational Aspects of Maximum Likelihood Estimation of the Skew-t Distribution (Q5050402) (← links)
• Stein’s Lemma for generalized skew-elliptical random vectors (Q5078520) (← links)
• Improved Approximation of the Sum of Random Vectors by the Skew Normal Distribution (Q5169738) (← links)
• Discriminating between distributions using feed-forward neural networks (Q5220750) (← links)
• Bayesian analysis of some models that use the asymmetric exponential power distribution (Q5963725) (← links)
• Reverse stress testing in skew-elliptical models (Q6050283) (← links)
• Discussion (Q6064599) (← links)
• On the canonical form of scale mixtures of skew-normal distributions (Q6100929) (← links)