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Search: subject:"Stochastic representation"
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stochastic representation
12
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7
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7
Stochastic process
6
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6
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6
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6
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8
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7
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5
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4
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3
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2
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2
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2
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2
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1
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1
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ECONIS (ZBW)
9
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1
Tangency portfolio weights under a skew-normal model in small and large dimensions
Javed, Farrukh
;
Mazur, Stepan
;
Thorsén, Erik
- In:
Journal of the Operational Research Society
75
(
2024
)
7
,
pp. 1395-1406
Persistent link: https://www.econbiz.de/10014555921
Saved in:
2
In-sample and out-of-sample Sharpe ratios of multi-factor asset pricing models
Kan, Raymond
;
Wang, Xiaolu
;
Zheng, Xinghua
- In:
Journal of financial economics
155
(
2024
),
pp. 1-21
Persistent link: https://www.econbiz.de/10015072280
Saved in:
3
Matrix-tilted Archimedean copulas
Hofert, Marius
;
Ziegel, Johanna F.
- In:
Risks
9
(
2021
)
4
,
pp. 1-24
copulas by introducing a tilting matrix in the
stochastic
representation
of Archimedean copulas, similar to the Cholesky …
Persistent link: https://www.econbiz.de/10013200737
Saved in:
4
Tangency portfolio weights under a skew-normal model in small and large dimensions
Javed, Farrukh
;
Mazur, Stepan
;
Thorsén, Erik
-
2021
that the asset returns follow a matrix variate closed skew-normal distribution.We establish a
stochastic
representation
of … the linear combination of the estimated TP weights that fully characterize its distribution. Using the
stochastic
…
representation
we derive the mean and variance of the estimated weights of TP which are of key importance in portfolio analysis …
Persistent link: https://www.econbiz.de/10012654483
Saved in:
5
Tangency portfolio weights under a skew-normal model in small and large dimensions
Javed, Farrukh
;
Mazur, Stepan
;
Thorsén, Erik
-
2021
Persistent link: https://www.econbiz.de/10012605420
Saved in:
6
Matrix-tilted Archimedean copulas
Hofert, Marius
;
Ziegel, Johanna F.
- In:
Risks : open access journal
9
(
2021
)
4
,
pp. 1-24
copulas by introducing a tilting matrix in the
stochastic
representation
of Archimedean copulas, similar to the Cholesky …
Persistent link: https://www.econbiz.de/10012508692
Saved in:
7
Risk aggregation with FGM copulas
Blier-Wong, Christopher
;
Cossette, Hélène
;
Marceau, …
- In:
Insurance / Mathematics & economics
111
(
2023
),
pp. 102-120
Persistent link: https://www.econbiz.de/10014316667
Saved in:
8
Sampling distributions of optimal portfolio weights and characteristics in low and large dimensions
Bodnar, Taras
;
Dette, Holger
;
Parolya, Nestor
; …
-
Sonderforschungsbereich Statistical Modelling of …
-
2019
Persistent link: https://www.econbiz.de/10012119286
Saved in:
9
Bayesian mean-variance analysis : optimal portfolio selection under parameter uncertainty
Bauder, David
;
Bodnar, Taras
;
Parolya, Nestor
;
Schmid, …
- In:
Quantitative finance
21
(
2021
)
2
,
pp. 221-242
Persistent link: https://www.econbiz.de/10012424557
Saved in:
10
Central limit theorems for functionals of large sample covariance matrix and mean vector in matrix-variate location mixture of normal distributions
Bodnar, Taras
;
Mazur, Stepan
;
Parolya, Nestor
-
2017
In this paper we consider the asymptotic distributions of functionals of the sample covariance matrix and the sample mean vector obtained under the assumption that the matrix of observations has a matrix-variate location mixture of normal distributions. The central limit theorem is derived for...
Persistent link: https://www.econbiz.de/10012654423
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