Singular inverse Wishart distribution and its application to portfolio theory

Taras Bodnar, Stepan Mazur, Krzysztof Podgórski. Singular inverse Wishart distribution and its application to portfolio theory. J. Multivariate Analysis, 143:314-326, 2016. [doi]

Authors

Taras Bodnar

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Stepan Mazur

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Krzysztof Podgórski

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