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On the exact and approximate distributions of the product of a Wishart matrix with a normal vector

Bodnar, Taras; Mazur, Stepan; Okhrin, Yarema - In: Journal of Multivariate Analysis 122 (2013) C, pp. 70-81

In this paper we consider the distribution of the product of a Wishart random matrix and a Gaussian random vector. We derive a stochastic representation for the elements of the product. Using this result, the exact joint density for an arbitrary linear combination of the elements of the product...

Persistent link: https://www.econbiz.de/10010702799

Third cumulant for multivariate aggregate claim models

Loperfido, Nicola; Mazur, Stepan; Podgórski, Krzystof - In: Scandinavian actuarial journal (2018) 2, pp. 109-128

Persistent link: https://www.econbiz.de/10011880831

Bayesian inference for the tangent portfolio

Bauder, David; Bodnar, Taras; Mazur, Stepan; Okhrin, Yarema - In: International journal of theoretical and applied finance 21 (2018) 8, pp. 1-27

Persistent link: https://www.econbiz.de/10011970903

Bayesian estimation of the global minimum variance portfolio

Bodnar, Taras; Mazur, Stepan; Okhrin, Yarema - In: European journal of operational research : EJOR 256 (2017) 1, pp. 292-307

Persistent link: https://www.econbiz.de/10011611271

An iterative approach to ill-conditioned optimal portfolio selection

Gulliksson, Mårten; Mazur, Stepan - In: Computational economics 56 (2020) 4, pp. 773-794

Persistent link: https://www.econbiz.de/10012390467

Vector autoregression models with skewness and heavy tails

Karlsson, Sune; Mazur, Stepan; Nguyen, Hoang - In: Journal of economic dynamics & control 146 (2023), pp. 1-20

Persistent link: https://www.econbiz.de/10014478164

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

Predicting returns and dividend growth : the role of non-Gaussian innovations

Kiss, Tamás; Mazur, Stepan; Nguyen, Hoang - In: Finance research letters 46 (2022) 1, pp. 1-7

Persistent link: https://www.econbiz.de/10013341435