Orthant-based variance decomposition in investment portfolios

DOI10.1016/j.ejor.2019.11.028zbMath1487.91117OpenAlexW2990369190WikidataQ126770792 ScholiaQ126770792MaRDI QIDQ2030706

Javier Giner

Publication date: 7 June 2021

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2019.11.028

zbMATH Keywords

correlationmixturefinancebivariate normal distributionvariance decomposition

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Portfolio theory (91G10)

Cites Work

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• Some results on the multivariate truncated normal distribution
• Multivariate truncated moments
• A GARCH option pricing model with \(\alpha\)-stable innovations
• The nontruncated marginal of a truncated bivariate normal distribution
• Correlation as probability: applications of Sheppard’s formula to financial assets
• Multivariate T-Distributions and Their Applications

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