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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

Robustness of the inference procedures for the global minimum variance portfolio weights in a skew-normal modelFootnote

Taras BodnarDepartment of Statistics, European University Viadrina, PO Box 1786, 15207Frankfurt (Oder), Germany
&
Arjun K. GuptaDepartment of Mathematics and Statistics, Bowling Green State University, Bowling Green, OH43403, USACorrespondence[email protected]
Pages 1176-1194 | Received 08 Dec 2010, Accepted 18 May 2012, Published online: 16 Jul 2012

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Farrukh Javed, Stepan Mazur & Erik Thorsén. (2023) Tangency portfolio weights under a skew-normal model in small and large dimensions. Journal of the Operational Research Society 0:0, pages 1-12.
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Chris Adcock, Zinoviy Landsman & Tomer Shushi. (2021) Stein’s Lemma for generalized skew-elliptical random vectors. Communications in Statistics - Theory and Methods 50:13, pages 3014-3029.
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Elizabeth González-Estrada & Waldenia Cosmes. (2019) Shapiro–Wilk test for skew normal distributions based on data transformations. Journal of Statistical Computation and Simulation 89:17, pages 3258-3272.
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Antonio Punzo, Angelo Mazza & Antonello Maruotti. (2018) Fitting insurance and economic data with outliers: a flexible approach based on finite mixtures of contaminated gamma distributions. Journal of Applied Statistics 45:14, pages 2563-2584.
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Philip L.H. Yu, Thomas Mathew & Yuanyuan Zhu. (2017) A generalized pivotal quantity approach to portfolio selection. Journal of Applied Statistics 44:8, pages 1402-1420.
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Articles from other publishers (16)

Raffaele Mattera, Massimiliano Giacalone & Karina Gibert. (2021) Distribution-Based Entropy Weighting Clustering of Skewed and Heavy Tailed Time Series. Symmetry 13:6, pages 959.
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Mehrdad Naderi, Farzane Hashemi, Andriette Bekker & Ahad Jamalizadeh. (2020) Modeling right-skewed financial data streams: A likelihood inference based on the generalized Birnbaum–Saunders mixture model. Applied Mathematics and Computation 376, pages 125109.
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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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Chris Adcock & Adelchi Azzalini. (2020) A Selective Overview of Skew-Elliptical and Related Distributions and of Their Applications. Symmetry 12:1, pages 118.
Crossref
C J Adcock. 2015. Quantitative Financial Risk Management. Quantitative Financial Risk Management 242 269 .
Arjun K. Gupta, Tamas Varga & Taras BodnarArjun K. Gupta, Tamas Varga & Taras Bodnar. 2013. Elliptically Contoured Models in Statistics and Portfolio Theory. Elliptically Contoured Models in Statistics and Portfolio Theory 219 236 .
Arjun K. Gupta, Tamas Varga & Taras BodnarArjun K. Gupta, Tamas Varga & Taras Bodnar. 2013. Elliptically Contoured Models in Statistics and Portfolio Theory. Elliptically Contoured Models in Statistics and Portfolio Theory 193 216 .
Arjun K. Gupta, Tamas Varga & Taras BodnarArjun K. Gupta, Tamas Varga & Taras Bodnar. 2013. Elliptically Contoured Models in Statistics and Portfolio Theory. Elliptically Contoured Models in Statistics and Portfolio Theory 173 192 .
Arjun K. Gupta, Tamas Varga & Taras BodnarArjun K. Gupta, Tamas Varga & Taras Bodnar. 2013. Elliptically Contoured Models in Statistics and Portfolio Theory. Elliptically Contoured Models in Statistics and Portfolio Theory 145 169 .
Arjun K. Gupta, Tamas Varga & Taras BodnarArjun K. Gupta, Tamas Varga & Taras Bodnar. 2013. Elliptically Contoured Models in Statistics and Portfolio Theory. Elliptically Contoured Models in Statistics and Portfolio Theory 125 144 .
Arjun K. Gupta, Tamas Varga & Taras BodnarArjun K. Gupta, Tamas Varga & Taras Bodnar. 2013. Elliptically Contoured Models in Statistics and Portfolio Theory. Elliptically Contoured Models in Statistics and Portfolio Theory 103 123 .
Arjun K. Gupta, Tamas Varga & Taras BodnarArjun K. Gupta, Tamas Varga & Taras Bodnar. 2013. Elliptically Contoured Models in Statistics and Portfolio Theory. Elliptically Contoured Models in Statistics and Portfolio Theory 59 102 .
Arjun K. Gupta, Tamas Varga & Taras BodnarArjun K. Gupta, Tamas Varga & Taras Bodnar. 2013. Elliptically Contoured Models in Statistics and Portfolio Theory. Elliptically Contoured Models in Statistics and Portfolio Theory 15 57 .
Arjun K. Gupta, Tamas Varga & Taras BodnarArjun K. Gupta, Tamas Varga & Taras Bodnar. 2013. Elliptically Contoured Models in Statistics and Portfolio Theory. Elliptically Contoured Models in Statistics and Portfolio Theory 273 302 .
Arjun K. Gupta, Tamas Varga & Taras BodnarArjun K. Gupta, Tamas Varga & Taras Bodnar. 2013. Elliptically Contoured Models in Statistics and Portfolio Theory. Elliptically Contoured Models in Statistics and Portfolio Theory 237 271 .
Arjun K. Gupta, Tamas Varga & Taras BodnarArjun K. Gupta, Tamas Varga & Taras Bodnar. 2013. Elliptically Contoured Models in Statistics and Portfolio Theory. Elliptically Contoured Models in Statistics and Portfolio Theory 3 11 .

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