Portfolio optimization for student t and skewed t returns
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References listed on IDEAS
- Kjersti Aas & Ingrid Hobaek Haff, 2006. "The Generalized Hyperbolic Skew Student's t-Distribution," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(2), pages 275-309.
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More about this item
KeywordsPortfolio optimization; Portfolio management; Correlation modelling; Risk management; Value at risk; Model estimation;
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