Asset pricing and portfolio selection based on the multivariate extended skew-Student-t distribution-Reference-Cited by-同舟云学术

Asset pricing and portfolio selection based on the multivariate extended skew-Student-t distribution

Published:2009-07-04 Issue:1 Volume:176 Page:221-234
ISSN:0254-5330
Container-title:Annals of Operations Research
language:en
Short-container-title:Ann Oper Res

Author:

Adcock C. J.

Publisher

Springer Science and Business Media LLC

Subject

Management Science and Operations Research,General Decision Sciences

Link

http://link.springer.com/content/pdf/10.1007/s10479-009-0586-4.pdf

Reference38 articles.

1. Adcock, C. J. (2005). Exploiting skewness to build an optimal Hedge fund with a currency overlay. The European Journal of Finance, 11, 445–462.

2. Adcock, C. J. (2007). Extensions of Stein’s lemma for the skew-normal distribution. Communications in Statistics – Theory and Methods, 36, 1661–1672.

3. Adcock, C. J. (2008) Extensions of Stein’s and Siegel’s lemmas for the skew-Student distribution. Working paper.

4. Adcock, C. J., & Shutes, K. (2001). Portfolio selection based on the multivariate skew-normal distribution. In A. Skulimowski (Ed.), Financial modelling. Krakow: Progress and Business Publishers.

5. Aparicio, F., & Estrada, J. (2001). Empirical distributions of stock returns: European securities markets. European Journal of Finance, 7, 1–21.

Cited by 101 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Reverse stress testing in skew-elliptical models;Theory of Probability and Mathematical Statistics;2023-10-03

2. Optimal Portfolio Projections for Skew-Elliptically Distributed Portfolio Returns;Journal of Optimization Theory and Applications;2023-06-28

3. Production analysis with asymmetric noise;Journal of Productivity Analysis;2023-05-25

4. Indirect inference estimation of stochastic production frontier models with skew-normal noise;Empirical Economics;2023-04-07

5. The Linear Skew-t Distribution and Its Properties;Stats;2023-02-23