Asset pricing and portfolio selection based on the multivariate extended skew-student-\(t\) distribution (Q993721)
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scientific article; zbMATH DE number 5788829
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asset pricing and portfolio selection based on the multivariate extended skew-student-\(t\) distribution |
scientific article; zbMATH DE number 5788829 |
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Asset pricing and portfolio selection based on the multivariate extended skew-student-\(t\) distribution (English)
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20 September 2010
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capital asset pricing model
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efficient frontier
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market model
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multivariate skew-normal distribution
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multivariate student distribution
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portfolio selection
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utility functions
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0.8720051
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0.86858475
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0.8638725
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0.8599216
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0.85777265
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