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Search: subject:"Skew-elliptical distributions"
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singular extended skew-elliptical distributions
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skew-elliptical distributions
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The tail mean-variance optimal portfolio selection under generalized skew-elliptical distribution
Eini, Esmat Jamshidi
;
Khaloozadeh, Hamid
- In:
Insurance / Mathematics & economics
98
(
2021
),
pp. 44-50
Persistent link: https://www.econbiz.de/10012545260
Saved in:
2
Justifying mean-variance portfolio selection when asset returns are skewed
Schuhmacher, Frank
;
Kohrs, Hendrik
;
Auer, Benjamin R.
- In:
Management science : journal of the Institute for …
67
(
2021
)
12
,
pp. 7812-7824
Persistent link: https://www.econbiz.de/10012815763
Saved in:
3
Comparing density forecasts in a risk management context
Diks, Cees G. H.
;
Fang, Hao
- In:
International journal of forecasting
36
(
2020
)
2
,
pp. 531-551
Persistent link: https://www.econbiz.de/10012415217
Saved in:
4
Analytic solution to the portfolio optimization problem in a mean-variance-skewness model
Landsman, Zinoviy
;
Makov, Udi
;
Shushi, Tomer
- In:
The European journal of finance
26
(
2020
)
2/3
,
pp. 165-178
Persistent link: https://www.econbiz.de/10012207192
Saved in:
5
Portfolio separation properties of the
skew-elliptical
distributions
Framstad, Nils Chr.
-
2011
number of funds equalling the rank of the skewness matrix. Some elements of the generalization to singular extended
skew-elliptical
…
distributions
are covered. …
Persistent link: https://www.econbiz.de/10010285602
Saved in:
6
Portfolio Separation Properties of the
Skew-Elliptical
Distributions
Christian Framstad, Nils
-
Økonomisk institutt, Universitetet i Oslo
-
2011
number of funds equalling the rank of the skewness matrix. Some elements of the generalization to singular extended
skew-elliptical
…
distributions
are covered. …
Persistent link: https://www.econbiz.de/10008865954
Saved in:
7
A dominance test for measuring financial connectedness
Bernardi, Mauro
;
Stolfi, Paola
- In:
The European journal of finance
26
(
2020
)
2/3
,
pp. 119-141
Persistent link: https://www.econbiz.de/10012207190
Saved in:
8
Portfolio separation properties of the
skew-elliptical
distributions
, with generalizations
Framstad, N.C.
- In:
Statistics & Probability Letters
81
(
2011
)
12
,
pp. 1862-1866
number of funds equaling the rank of the skewness matrix. The singular extended
skew-elliptical
distributions
are covered, as …
Persistent link: https://www.econbiz.de/10010571798
Saved in:
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