Asset pricing and portfolio selection based on the multivariate extended skew-Student-t distribution

Adcock, C.J. (2010) Asset pricing and portfolio selection based on the multivariate extended skew-Student-t distribution. Annals of Operations Research, 176 (1). pp. 221-234. ISSN 0254-5330

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Authors/Creators:
  • Adcock, C.J.
Copyright, Publisher and Additional Information: © 2010 Springer. This is an author produced version of a paper subsequently published in Annals of Operations Research. Uploaded in accordance with the publisher's self-archiving policy.
Keywords: Capital asset pricing model; Efficient frontier; Market model; Multivariate skew-normal distribution; Multivariate Student distribution; Portfolio selection; Utility functions
Institution: The University of Sheffield
Academic Units: The University of Sheffield > Faculty of Social Sciences (Sheffield) > Sheffield University Management School
Depositing User: Miss Anthea Tucker
Date Deposited: 21 Jun 2010 14:29
Last Modified: 08 Feb 2013 17:00
Published Version: http://dx.doi.org/10.1007/s10479-009-0586-4
Status: Published
Publisher: Springer
Refereed: Yes
Identification Number: https://doi.org/10.1007/s10479-009-0586-4

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