Portfolio allocation using multivariate variance gamma models

Asmerilda Hitaj; Lorenzo Mercuri

Year of publication:	2013
Authors:	Hitaj, Asmerilda ; Mercuri, Lorenzo
Published in:	Financial markets and portfolio management. - Heidelberg [u.a.] : Springer, ISSN 1934-4554, ZDB-ID 2052480-8. - Vol. 27.2013, 1, p. 65-99
Subject:	Portfolio selection \| Multivariate variance gamma model \| Higher-order moments \| Portfolio-Management \| Multivariate Analyse \| Multivariate analysis \| Theorie \| Theory \| Varianzanalyse \| Analysis of variance

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