Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation

Journal of Econometrics

Volumn 153, Issue 2, 2009, Pages 105-121

  Mencía, Javier ^a   Sentana, Enrique ^b  

^a BANCO DE ESPAÑA   (Spain)

^b CEMFI   (Spain)

Author keywords

Generalised hyperbolic distribution; Maximum likelihood; Portfolio frontiers; Sortino ratio; Spanning tests; Tail dependence

Indexed keywords

GENERALISED HYPERBOLIC DISTRIBUTION; PORTFOLIO FRONTIERS; SORTINO RATIO; SPANNING TESTS; TAIL DEPENDENCE;

CORRELATION THEORY; MAXIMUM LIKELIHOOD;

STATISTICAL TESTS;

EID: 70349293652     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2009.05.001     Document Type: Article

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