Elliptically Contoured Models in Statistics and Portfolio Theory

By Arjun K. Gupta, T. Varga, Taras Bodnar Elliptically. 2013

161 citations recorded by the source corpus.

Subfields: Environmental Engineering

View Paper: https://www.semanticscholar.org/paper/33ed6a5842d7c220ec9cf378bd97dbe11427971a

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Environmental Engineering

1. Andrew Gelman
2. Wolfgang Schmid
3. Christian P. Robert
4. John P. Cunningham
5. Dustin Tran
6. Finn Lindgren
7. Noel Cressie
8. Aritra Sengupta

Citations in the corpus

• Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty (2018, methodology): “Finally, it has to be noted that the application of the stochastic representation describing the distribution of random quantities has been used both in the frequentist statistics (see, e.g. Givens and Hoeting 2012, Gupta et al. 2013) and in the Bayesian statistics (cf. Bodnar et al. 2017).”
• Expectation Propagation as a Way of Life: A Framework for Bayesian Inference on Partitioned Data (2014, background): “Other improved estimates for the normal distribution and some more general distribution families exist (Bodnar and Gupta, 2011; Gupta et al., 2013; Sarr and Gupta, 2009; Tsukuma and Konno, 2006).”