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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

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