most citedPortfolio Selection under Multivariate Merton Model with Correlated Jump Risk

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stat.ME2020

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…