Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
Year of publication: |
2009-06
|
---|---|
Authors: | Mencía, Javier ; Sentana, Enrique |
Institutions: | Banco de España |
Subject: | Generalised Hyperbolic Distribution | Maximum Likelihood | Portfolio Frontiers | Sortino Ratio | Spanning Tests | Tail Dependence |
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