Lower convex order bound approximations for sums of log-skew normal random variables

DOI10.1002/ASMB.853zbMath1274.60042OpenAlexW3124514750MaRDI QIDQ2862429

Emiliano A. Valdez, Oriol Roch

Publication date: 15 November 2013

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.853

zbMATH Keywords

portfolio managementconvex order boundsmultivariate closed skew-normal distribution

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Numerical methods (including Monte Carlo methods) (91G60) Probability distributions: general theory (60E05) Portfolio theory (91G10)

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