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Search: subject:"stochastic representation"
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stochastic representation
12
Stochastic process
9
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9
Portfolio selection
7
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7
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7
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6
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high-dimensional asymptotics
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matrix variate skew-normal distribution
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tangency portfolio
3
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2
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2
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elliptical copulas
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tilting
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Mazur, Stepan
8
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7
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5
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4
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3
Bauder, David
2
Hofert, Marius
2
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2
Arellano-Valle, Reinaldo B.
1
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1
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1
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Sonderforschungsbereich Statistical Modelling of Nonlinear Dynamic Processes
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ECONIS (ZBW)
10
EconStor
6
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1
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:
2
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:
3
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:
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
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