Robust portfolio estimation under skew-normal return processes
Masanobu Taniguchi, Alexandre Petkovic, Takehiro Kase, Thomas DiCiccio and Anna Clara Monti
| Year of publication: |
October-December 2015
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| Authors: | Taniguchi, Masanobu ; Petkovic, Alexandre ; Kase, Takehiro ; DiCiccio, Thomas J. ; Monti, Anna Clara |
| Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 21.2015, 13/15, p. 1091-1112
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| Subject: | robust portfolio | skew-normal law | optimal portfolio | linear process | Portfolio-Management | Portfolio selection | Robustes Verfahren | Robust statistics | Schätztheorie | Estimation theory |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2011.640341 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011419752