Covariances matrix under the multivariate-Gh funtion to desing portfolios
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References listed on IDEAS
- Michael McAssey, 2013. "An empirical goodness-of-fit test for multivariate distributions," Journal of Applied Statistics, Taylor & Francis Journals, vol. 40(5), pages 1120-1131.
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Keywords
Expectation-maximization algorithm; Generalized hyperbolic distribution; Markowitz portfolio; Covariance matrix;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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