1 citations · 1 across the 3 of their papers we have counts for
3 papers
Dynamic investment portfolio optimization using a Multivariate Merton Model with Correlated Jump Risk
Bahareh Afhami, Mohsen Rezapour, Mohsen Madadi +1
In this paper, we are concerned with the optimization of a dynamic investment portfolio when the securities which follow a multivariate Merton model with dependent jumps are period…
Portfolio Selection under Multivariate Merton Model with Correlated Jump Risk
Bahareh Afhami, Mohsen Rezapour, Mohsen Madadi +1
Portfolio selection in the periodic investment of securities modeled by a multivariate Merton model with dependent jumps is considered. The optimization framework is designed to ma…
Family of mean-mixtures of multivariate normal distributions: properties, inference and assessment of multivariate skewness
Me'raj Abdi, Mohsen Madadi, N. Balakrishnan +1
In this paper, a new mixture family of multivariate normal distributions, formed by mixing multivariate normal distribution and skewed distribution, is constructed. Some properties…