Showing 1 - 10 of 73
It is well known that non-normality plays an important role in asset and risk management. However, handling a large number of assets has long been a challenge due to the curse of dimensionality. We describe a statistical technique, which we call Moment Component Analysis (MCA), that extends...
Persistent link: https://www.econbiz.de/10008797742
Persistent link: https://www.econbiz.de/10012249215
Persistent link: https://www.econbiz.de/10013380791
Persistent link: https://www.econbiz.de/10014383313
Persistent link: https://www.econbiz.de/10014383318
Persistent link: https://www.econbiz.de/10012821302
Persistent link: https://www.econbiz.de/10010243140
Persistent link: https://www.econbiz.de/10009553644
Persistent link: https://www.econbiz.de/10011441589
Persistent link: https://www.econbiz.de/10010530017