Random orthogonal matrix simulation with exact means, covariances, and multivariate skewness-Reference-Cited by-同舟云学术

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Random orthogonal matrix simulation with exact means, covariances, and multivariate skewness

Published:2017-12 Issue:2 Volume:263 Page:510-523
ISSN:0377-2217
Container-title:European Journal of Operational Research
language:en
Short-container-title:European Journal of Operational Research

Author:

Hanke Michael,Penev Spiridon,Schief Wolfgang,Weissensteiner Alex

Funder

Australian Research Council

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modeling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference21 articles.

1. Mean-variance-skewness efficient surfaces, Stein’s lemma and the multivariate extended skew-Student distribution;Adcock;European Journal of Operational Research,2014

2. Skewed distributions in finance and actuarial science: A review;Adcock;European Journal of Finance,2015

3. Asset pricing and portfolio selection based on the multivariate extended skew-Student-t distribution;Adcock;Annals of Operations Research,2010

4. Multivariate measures of skewness for the skew-normal distribution;Balakrishnan;Journal of Multivariate Analysis,2012

5. Crash sensitivity and the cross-section of expected stock returns;Chabi-Yo,2015

Cited by 2 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. Matching Kollo measures;Journal of the Operational Research Society;2023-08-09

2. Targeting Kollo skewness with random orthogonal matrix simulation;European Journal of Operational Research;2022-05

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