Portfolio theory for squared returns correlated across time
نویسندگان
چکیده
منابع مشابه
Portfolio Theory for Squared Returns Correlated across time
Allowing for correlated squared returns across two consecutive periods, portfolio theory for two periods is developed. This correlation makes it necessary to work with non-Gaussian models. The two-period conic portfolio problem is formulated and implemented. This development leads to a mean ask price frontier, where the latter employs concave distortions. The modeling permits access to skewness...
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ژورنال
عنوان ژورنال: Probability, Uncertainty and Quantitative Risk
سال: 2016
ISSN: 2367-0126
DOI: 10.1186/s41546-016-0001-4