Asset pricing and portfolio selection based on the multivariate extended skew-Student-t distribution

Annals of Operations Research

Volumn 176, Issue 1, 2010, Pages 221-234

  Adcock, C J ^a  

^a UNIVERSITY OF SHEFFIELD   (United Kingdom)

Author keywords

Capital asset pricing model; Efficient frontier; Market model; Multivariate skew normal distribution; Multivariate Student distribution; Portfolio selection; Utility functions

Indexed keywords

EID: 77949425102     PISSN: 02545330     EISSN: 15729338     Source Type: Journal    
DOI: 10.1007/s10479-009-0586-4     Document Type: Article

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