PORTFOLIO RETURN DISTRIBUTIONS: SAMPLE STATISTICS WITH STOCHASTIC CORRELATIONS

DOI10.1142/S0219024915500120zbMath1337.91074arXiv1308.3961MaRDI QIDQ5249755

Thomas Guhr, Desislava Chetalova, Rudi Schäfer, Thilo A. Schmitt

Publication date: 11 May 2015

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1308.3961

zbMATH Keywords

stochastic modelsnonstationaritymarket dynamicsportfolio analysisnon-Gaussian distributionscorrelation modeling

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items

Stability and hierarchy of quasi-stationary states: financial markets as an example, Dependence structure of market states, Local fluctuations of the signed traded volumes and the dependencies of demands: a copula analysis

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