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The European Journal of Finance Volume 21, 2015 - Issue 13-14: Skew-elliptical distributions in finance and skewness in asset returns
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Original Articles

Robust portfolio estimation under skew-normal return processes

Masanobu TaniguchiDepartment of Applied Mathematics, Waseda University, 3-4-1, Okubo Shinjuku-ku, Tokyo169-8555, Japan;Correspondence[email protected]
,
Alexandre PetkovicDepartment of Applied Mathematics, Waseda University, 3-4-1, Okubo Shinjuku-ku, Tokyo169-8555, Japan;
,
Takehiro KaseDepartment of Applied Mathematics, Waseda University, 3-4-1, Okubo Shinjuku-ku, Tokyo169-8555, Japan;
,
Thomas DiCiccioDepartment of Social Statistics, Cornell University, 288 Ives Hall, Ithaca, NY14853, USA;
&
Anna Clara MontiDipartimento Pe.Me.Is., Sezione Statistica, Universit Degli Studi del Sannio, Via Calandra 1, Benevento82100, Italy
Pages 1091-1112 | Received 15 Dec 2010, Accepted 09 Nov 2011, Published online: 06 Feb 2012

Citations (5)

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Rendao Ye, Bingni Fang, Zhongchi Wang, Kun Luo & Wenting Ge. (2023) Bootstrap inference on the Behrens–Fisher-type problem for the skew-normal population under dependent samples. Communications in Statistics - Theory and Methods 52:11, pages 3751-3766.
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Articles from other publishers (4)

Rendao Ye, Bingni Fang, Weixiao Du, Kun Luo & Yiting Lu. (2022) Bootstrap Tests for the Location Parameter under the Skew-Normal Population with Unknown Scale Parameter and Skewness Parameter. Mathematics 10:6, pages 921.
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Sun-Yong Choi & Ji-Hun Yoon. (2020) Modeling and Risk Analysis Using Parametric Distributions with an Application in Equity-Linked Securities. Mathematical Problems in Engineering 2020, pages 1-20.
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Jorge M. Arevalillo & Hilario Navarro. (2018) A stochastic ordering based on the canonical transformation of skew-normal vectors. TEST 28:2, pages 475-498.
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Saralees Nadarajah & Rui Li. (2017) The exact density of the sum of independent skew normal random variables. Journal of Computational and Applied Mathematics 311, pages 1-10.
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