Tangency portfolio weights under a skew-normal model in small and large dimensions
Farrukh Javed, Stepan Mazur and Erik Thorsén
| Year of publication: |
2024
|
|---|---|
| Authors: | Javed, Farrukh ; Mazur, Stepan ; Thorsén, Erik |
| Published in: |
Journal of the Operational Research Society. - London : Taylor and Francis, ISSN 1476-9360, ZDB-ID 2007775-0. - Vol. 75.2024, 7, p. 1395-1406
|
| Subject: | Asset allocation | high-dimensional asymptotics | matrix variate skew-normal distribution | stochastic representation | tangency portfolio | Portfolio-Management | Portfolio selection | Theorie | Theory | Stochastischer Prozess | Stochastic process | Statistische Verteilung | Statistical distribution |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/01605682.2023.2249935 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014555921