Portfolio separation properties of the skew-elliptical distributions, with generalizations
Author:
Publisher
Elsevier BV
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
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2. A proof for the existence of multivariate singular generalized skew-elliptical density functions;Statistics & Probability Letters;2018-10
3. Technical Note—Multivariate Partial-Expectation Results for Exact Solutions of Two-Stage Problems;Operations Research;2017-12
4. Skew-elliptical distributions with applications in risk theory;European Actuarial Journal;2017-01-09
5. Continuous-time (Ross-type) portfolio separation, (almost) without Itô calculus;Stochastics;2016-02-09
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