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  • Search: subject:"matrix variate skew-normal distribution"
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Year of publication
Subject
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matrix variate skew-normal distribution 4 Asset allocation 3 Portfolio selection 3 Portfolio-Management 3 high-dimensional asymptotics 3 stochastic representation 3 tangency portfolio 3 Statistical distribution 2 Statistische Verteilung 2 Stochastic process 2 Stochastischer Prozess 2 Theorie 2 Theory 2 Analysis of variance 1 Estimation theory 1 Induktive Statistik 1 Schätztheorie 1 Statistical inference 1 Varianzanalyse 1 Volatility 1 Volatilität 1 asset pricing 1 global minimum variance portfolio 1 parameter uncertainty 1 statistical inference procedures 1
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Online availability
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Free 2 Undetermined 2
Type of publication
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Article 2 Book / Working Paper 2
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2 Working Paper 2 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1
Language
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English 4
Author
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Javed, Farrukh 3 Mazur, Stepan 3 Thorsén, Erik 3 Bodnar, Taras 1 Gupta, Arjun K. 1
Published in...
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Journal of the Operational Research Society 1 The European journal of finance 1 Working Paper 1 Working paper 1
Source
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ECONIS (ZBW) 3 EconStor 1
Showing 1 - 4 of 4
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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
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Tangency portfolio weights under a skew-normal model in small and large dimensions
Javed, Farrukh; Mazur, Stepan; Thorsén, Erik - 2021
In this paper, we investigate the distributional properties of the estimated tangency portfolio (TP) weights assuming 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...
Persistent link: https://www.econbiz.de/10012654483
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Cover Image
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:
Cover Image
Robustness of the inference procedures for the global minimum variance portfolio weights in a skew-normal model
Bodnar, Taras; Gupta, Arjun K. - In: The European journal of finance 21 (2015) 13/15, pp. 1176-1194
Persistent link: https://www.econbiz.de/10011419827
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