Search Results - subject:"stochastic representation"

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

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

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

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

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

Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions

Bodnar, Taras; Mazur, Stepan; Parolya, Nestor - 2017

In this paper we consider the asymptotic distributions of functionals of the sample covariance matrix and the sample mean vector obtained under the assumption that the matrix of observations has a matrix-variate location mixture of normal distributions. The central limit theorem is derived for...

Persistent link: https://www.econbiz.de/10012654423

Discriminant analysis in small and large dimensions

Bodnar, Taras; Mazur, Stepan; Ngailo, Edward; Parolya, … - 2017

normality by comparing two groups with the same covariance matrix but di erent mean vectors. A stochastic representation of the …

Persistent link: https://www.econbiz.de/10012654424

On the product of a singular Wishart matrix and a singular Gaussian vector in high dimensions

Bodnar, Taras; Mazur, Stepan; Muhinyuza, Stanislas; … - 2017

useful stochastic representation is derived for this product, in using which the characteristic function of the product and … its asymptotic distribution under the double asymptotic regime are established. The application of obtained stochastic … representation speeds up the simulation studies where the product of a singular Wishart random matrix and a singular normal random …

Persistent link: https://www.econbiz.de/10012654425

Dual regression

Spady, Richard Henry; Stouli, Sami - 2016

Persistent link: https://www.econbiz.de/10011448812

A New Approach to the Irreversible Investment Problem

Su, Xia - 2006

This paper solves the irreversible investment decision problem under uncertainty by a new real options method. It yields a Shadow Net Present Value rule such that the investment is triggered only when the shadow revenue of the investment reaches the investment cost. This paper hence corrects and...

Persistent link: https://www.econbiz.de/10010263177