Multivariate approximations to portfolio return distribution
This article proposes a three-step procedure to estimate portfolio return distributions under the multivariate Gram¿Charlier (MGC) distribution. The method combines quasi maximum likelihood (QML) estimation for conditional means and variances and the method of moments (MM) estimation for the rest of...
| Autores Principales: | , , |
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| Formato: | Artículo (Article) |
| Lenguaje: | Inglés (English) |
| Publicado: |
2020
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| Materias: | |
| Acceso en línea: | http://hdl.handle.net/1992/46964 |