Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Academic Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject:"Stochastic representation"
Narrow search
Narrow search
Year of publication
From:
To:
Subject
All
stochastic representation
12
Stochastic process
9
Stochastischer Prozess
9
Portfolio selection
7
Portfolio-Management
7
Stochastic representation
7
Theorie
6
Theory
6
Statistical distribution
5
Statistische Verteilung
5
high-dimensional asymptotics
5
Asset allocation
4
Estimation theory
3
Schätztheorie
3
matrix variate skew-normal distribution
3
tangency portfolio
3
Archimedean copulas
2
Bayes-Statistik
2
Bayesian inference
2
Mathematical programming
2
Mathematische Optimierung
2
Multivariate Verteilung
2
Multivariate distribution
2
Risiko
2
Risk
2
elliptical copulas
2
generalization
2
random matrix theory
2
tilting
2
Algorithm
1
Algorithmus
1
Asset pricing model
1
Bayesian analysis
1
Black-Litterman model
1
CAPM
1
Capital allocation
1
Capital income
1
Conditional distribution
1
Convexity
1
Decision under uncertainty
1
more ...
less ...
Online availability
All
Undetermined
11
Free
10
CC license
1
Type of publication
All
Article
13
Book / Working Paper
8
Type of publication (narrower categories)
All
Working Paper
8
Article in journal
7
Aufsatz in Zeitschrift
7
Arbeitspapier
3
Graue Literatur
2
Non-commercial literature
2
Article
1
Forschungsbericht
1
more ...
less ...
Language
All
English
16
Undetermined
5
Author
All
Mazur, Stepan
8
Bodnar, Taras
7
Parolya, Nestor
5
Thorsén, Erik
4
Javed, Farrukh
3
Bauder, David
2
Hofert, Marius
2
Okhrin, Yarema
2
Arellano-Valle, Reinaldo B.
1
Blier-Wong, Christopher
1
Chaganty, N. Rao
1
Chen, John
1
Cossette, Hélène
1
Deng, Yihao
1
Dette, Holger
1
Ekstrom, Erik
1
Genton, Marc G.
1
Gupta, Arjun
1
Kan, Raymond
1
Liu, Yin
1
Lotstedt, Per
1
Marceau, Etienne
1
Muhinyuza, Stanislas
1
Ngailo, Edward
1
Qin, Hong
1
Sabo, Roy T.
1
Schmid, Wolfgang
1
Spady, Richard Henry
1
Stouli, Sami
1
Su, Xia
1
Tian, Guo-Liang
1
Tysk, Johan
1
Wang, Xiaolu
1
Zhang, Chi
1
Zheng, Xinghua
1
Ziegel, Johanna
1
Ziegel, Johanna F.
1
more ...
less ...
Institution
All
Sonderforschungsbereich Statistical Modelling of Nonlinear Dynamic Processes
1
Published in...
All
Working Paper
4
Journal of Multivariate Analysis
2
Annals of the Institute of Statistical Mathematics
1
Applied Mathematical Finance
1
Bonn Econ Discussion Papers
1
Computational Statistics & Data Analysis
1
Discussion paper / University of Bristol, Department of Economics
1
Discussion papers / Technische Universität Dortmund Fakultät Statistik, SFB 823
1
Insurance / Mathematics & economics
1
International journal of theoretical and applied finance
1
Journal of financial economics
1
Journal of the Operational Research Society
1
Quantitative finance
1
Risks
1
Risks : open access journal
1
Working paper
1
more ...
less ...
Source
All
ECONIS (ZBW)
10
EconStor
6
RePEc
5
Showing
1
-
10
of
21
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Tangency portfolio weights under a skew-normal model in small and large dimensions
Javed, Farrukh
;
Mazur, Stepan
;
Thorsén, Erik
- In:
Journal of the Operational Research Society
75
(
2024
)
7
,
pp. 1395-1406
Persistent link: https://www.econbiz.de/10014555921
Saved in:
2
In-sample and out-of-sample Sharpe ratios of multi-factor asset pricing models
Kan, Raymond
;
Wang, Xiaolu
;
Zheng, Xinghua
- In:
Journal of financial economics
155
(
2024
),
pp. 1-21
Persistent link: https://www.econbiz.de/10015072280
Saved in:
3
A general inferential framework for singly-truncated bivariate normal models with applications in economics
Liu, Yin
;
Tian, Guo-Liang
;
Zhang, Chi
;
Qin, Hong
-
2024
Persistent link: https://www.econbiz.de/10015144094
Saved in:
4
Matrix-tilted Archimedean copulas
Hofert, Marius
;
Ziegel, Johanna F.
- In:
Risks
9
(
2021
)
4
,
pp. 1-24
copulas by introducing a tilting matrix in the
stochastic
representation
of Archimedean copulas, similar to the Cholesky …
Persistent link: https://www.econbiz.de/10013200737
Saved in:
5
Tangency portfolio weights under a skew-normal model in small and large dimensions
Javed, Farrukh
;
Mazur, Stepan
;
Thorsén, Erik
-
2021
that the asset returns follow a matrix variate closed skew-normal distribution.We establish a
stochastic
representation
of … the linear combination of the estimated TP weights that fully characterize its distribution. Using the
stochastic
…
representation
we derive the mean and variance of the estimated weights of TP which are of key importance in portfolio analysis …
Persistent link: https://www.econbiz.de/10012654483
Saved in:
6
Matrix-tilted Archimedean copulas
Hofert, Marius
;
Ziegel, Johanna
- In:
Risks : open access journal
9
(
2021
)
4
,
pp. 1-24
copulas by introducing a tilting matrix in the
stochastic
representation
of Archimedean copulas, similar to the Cholesky …
Persistent link: https://www.econbiz.de/10012508692
Saved in:
7
Tangency portfolio weights under a skew-normal model in small and large dimensions
Javed, Farrukh
;
Mazur, Stepan
;
Thorsén, Erik
-
2021
Persistent link: https://www.econbiz.de/10012605420
Saved in:
8
Risk aggregation with FGM copulas
Blier-Wong, Christopher
;
Cossette, Hélène
;
Marceau, …
- In:
Insurance / Mathematics & economics
111
(
2023
),
pp. 102-120
Persistent link: https://www.econbiz.de/10014316667
Saved in:
9
Sampling distributions of optimal portfolio weights and characteristics in low and large dimensions
Bodnar, Taras
;
Dette, Holger
;
Parolya, Nestor
; …
-
Sonderforschungsbereich Statistical Modelling of …
-
2019
Persistent link: https://www.econbiz.de/10012119286
Saved in:
10
Bayesian mean-variance analysis : optimal portfolio selection under parameter uncertainty
Bauder, David
;
Bodnar, Taras
;
Parolya, Nestor
;
Schmid, …
- In:
Quantitative finance
21
(
2021
)
2
,
pp. 221-242
Persistent link: https://www.econbiz.de/10012424557
Saved in:
1
2
3
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
