Forecasting portfolio returns with skew-geometric Brownian motions

DOI10.1002/ASMB.2678MaRDI QIDQ6580728

Michele Bufalo, Brunero Liseo, Giuseppe Orlando

Publication date: 29 July 2024

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

zbMATH Keywords

portfolio optimizationforecastingskew-normal Brownian motions

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the folded normal distribution
• The exact density of the sum of independent skew normal random variables
• On the constructions of the skew Brownian motion
• On skew Brownian motion
• On some properties of reflected skew Brownian motions and applications to dispersion in heterogeneous media
• Bouncing skew Brownian motions
• On the multi-dimensional skew Brownian motion
• Commercial and residential mortgage defaults: spatial dependence with frailty
• Detection of multiple change-points in multivariate time series
• La fonction hypergéométrique.
• Asymptotic Minimax Character of the Sample Distribution Function and of the Classical Multinomial Estimator
• A Generalization of the Glivenko-Cantelli Theorem
• A methodology for index tracking based on time-series clustering
• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• DENSITY OF SKEW BROWNIAN MOTION AND ITS FUNCTIONALS WITH APPLICATION IN FINANCE

Related Items (1)

Quantile hedging in the complete financial market under the mixed fractional Brownian motion model and the liquidity constraint

This page was built for publication: Forecasting portfolio returns with skew-geometric Brownian motions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6580728)