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Asset pricing and portfolio selection based on the multivariate extended skew-Student-t distribution

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Cited by:

  1. Oleg Badunenko & Daniel J. Henderson, 2024. "Production analysis with asymmetric noise," Journal of Productivity Analysis, Springer, vol. 61(1), pages 1-18, February.
  2. Natalia Khorunzhina & Jean-François Richard, 2019. "Finite Gaussian Mixture Approximations to Analytically Intractable Density Kernels," Computational Economics, Springer;Society for Computational Economics, vol. 53(3), pages 991-1017, March.
  3. Azzalini, Adelchi, 2022. "An overview on the progeny of the skew-normal family— A personal perspective," Journal of Multivariate Analysis, Elsevier, vol. 188(C).
  4. Young Kim & Rosella Giacometti & Svetlozar Rachev & Frank Fabozzi & Domenico Mignacca, 2012. "Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model," Annals of Operations Research, Springer, vol. 201(1), pages 325-343, December.
  5. Gambacciani, Marco & Paolella, Marc S., 2017. "Robust normal mixtures for financial portfolio allocation," Econometrics and Statistics, Elsevier, vol. 3(C), pages 91-111.
  6. Adelchi Azzalini & Marc G. Genton, 2015. "Discussion," International Statistical Review, International Statistical Institute, vol. 83(2), pages 198-202, August.
  7. Ignatieva, Katja & Landsman, Zinoviy, 2019. "Conditional tail risk measures for the skewed generalised hyperbolic family," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 98-114.
  8. Nuerxiati Abudurexiti & Erhan Bayraktar & Takaki Hayashi & Hasanjan Sayit, 2024. "Two-fund separation under hyperbolically distributed returns and concave utility function," Papers 2410.04459, arXiv.org, revised Jan 2025.
  9. Hung-pin Lai & Subal C. Kumbhakar, 2023. "Indirect inference estimation of stochastic production frontier models with skew-normal noise," Empirical Economics, Springer, vol. 64(6), pages 2771-2793, June.
  10. Stergios B. Fotopoulos & Venkata K. Jandhyala & Alex Paparas, 2021. "Some Properties of the Multivariate Generalized Hyperbolic Laws," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(1), pages 187-205, February.
  11. Young Shin Kim, 2022. "Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model," Annals of Operations Research, Springer, vol. 312(2), pages 853-881, May.
  12. Nicola Loperfido & Tomer Shushi, 2023. "Optimal Portfolio Projections for Skew-Elliptically Distributed Portfolio Returns," Journal of Optimization Theory and Applications, Springer, vol. 199(1), pages 143-166, October.
  13. Christopher J. Adcock, 2022. "Properties and Limiting Forms of the Multivariate Extended Skew-Normal and Skew-Student Distributions," Stats, MDPI, vol. 5(1), pages 1-42, March.
  14. Marc S. Paolella, 2017. "The Univariate Collapsing Method for Portfolio Optimization," Econometrics, MDPI, vol. 5(2), pages 1-33, May.
  15. Shushi, Tomer, 2018. "A proof for the existence of multivariate singular generalized skew-elliptical density functions," Statistics & Probability Letters, Elsevier, vol. 141(C), pages 50-55.
  16. Mårten Gulliksson & Stepan Mazur, 2020. "An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection," Computational Economics, Springer;Society for Computational Economics, vol. 56(4), pages 773-794, December.
  17. Ignatieva, Katja & Landsman, Zinoviy, 2021. "A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 437-465.
  18. Taras Bodnar & Wolfgang Schmid & Taras Zabolotskyy, 2013. "Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 76(8), pages 1105-1134, November.
  19. Palczewski, Andrzej & Palczewski, Jan, 2019. "Black–Litterman model for continuous distributions," European Journal of Operational Research, Elsevier, vol. 273(2), pages 708-720.
  20. Barbi, Massimiliano & Romagnoli, Silvia, 2018. "Skewness, basis risk, and optimal futures demand," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 14-29.
  21. Taras Bodnar & Mathias Lindholm & Erik Thorsén & Joanna Tyrcha, 2021. "Quantile-based optimal portfolio selection," Computational Management Science, Springer, vol. 18(3), pages 299-324, July.
  22. Arellano-Valle, Reinaldo B. & Azzalini, Adelchi, 2021. "A formulation for continuous mixtures of multivariate normal distributions," Journal of Multivariate Analysis, Elsevier, vol. 185(C).
  23. Lu, Xin & Liu, Qiong & Xue, Fengxin, 2019. "Unique closed-form solutions of portfolio selection subject to mean-skewness-normalization constraints," Operations Research Perspectives, Elsevier, vol. 6(C).
  24. Galarza, Christian E. & Matos, Larissa A. & Castro, Luis M. & Lachos, Victor H., 2022. "Moments of the doubly truncated selection elliptical distributions with emphasis on the unified multivariate skew-t distribution," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
  25. Wang, Chou-Wen & Liu, Kai & Li, Bin & Tan, Ken Seng, 2022. "Portfolio optimization under multivariate affine generalized hyperbolic distributions," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 49-66.
  26. Eling, Martin, 2014. "Fitting asset returns to skewed distributions: Are the skew-normal and skew-student good models?," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 45-56.
  27. Hanke, Michael & Penev, Spiridon & Schief, Wolfgang & Weissensteiner, Alex, 2017. "Random orthogonal matrix simulation with exact means, covariances, and multivariate skewness," European Journal of Operational Research, Elsevier, vol. 263(2), pages 510-523.
  28. Vanduffel, Steven & Yao, Jing, 2017. "A stein type lemma for the multivariate generalized hyperbolic distribution," European Journal of Operational Research, Elsevier, vol. 261(2), pages 606-612.
  29. Ryo Kinoshita, 2015. "Asset allocation under higher moments with the GARCH filter," Empirical Economics, Springer, vol. 49(1), pages 235-254, August.
  30. Wei Huang & Meng-Shiuh Chang, 2021. "Gold and Government Bonds as Safe-Haven Assets Against Stock Market Turbulence in China," SAGE Open, , vol. 11(1), pages 21582440219, January.
  31. Adcock, C J & Meade, N, 2017. "Using parametric classification trees for model selection with applications to financial risk management," European Journal of Operational Research, Elsevier, vol. 259(2), pages 746-765.
  32. C. J. Adcock, 2023. "The Linear Skew-t Distribution and Its Properties," Stats, MDPI, vol. 6(1), pages 1-30, February.
  33. Gradojevic, Nikola & Kukolj, Dragan & Adcock, Robert & Djakovic, Vladimir, 2023. "Forecasting Bitcoin with technical analysis: A not-so-random forest?," International Journal of Forecasting, Elsevier, vol. 39(1), pages 1-17.
  34. Eling, Martin, 2012. "Fitting insurance claims to skewed distributions: Are the skew-normal and skew-student good models?," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 239-248.
  35. Adcock, C.J., 2014. "Mean–variance–skewness efficient surfaces, Stein’s lemma and the multivariate extended skew-Student distribution," European Journal of Operational Research, Elsevier, vol. 234(2), pages 392-401.
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