A generalized CAPM model with asymmetric power distributed errors with an application to portfolio construction
Te Bao, Cees Diks, Hao Li
| Year of publication: |
January 2018
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|---|---|
| Authors: | Te, Bao ; Diks, Cees G. H. ; Li, Hao |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 68.2018, p. 611-621
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| Subject: | CAPM | Non-Gaussian distribution | Asymmetric fat-tailed distributions | Minimum variance portfolio | Portfolio-Management | Portfolio selection | Theorie | Theory | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2017.03.035 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011936164