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Random Orthogonal Matrix Simulation with Exact Means, Covariances, and Multivariate Skewness

Referenz

Hanke, M., Penev, S., Schief, W., & Weissensteiner, A. (2017). Random Orthogonal Matrix Simulation with Exact Means, Covariances, and Multivariate Skewness. European Journal of Operational Research, 263(2), 510-523. (ABDC: A*; ABS: 4; ISI: 3.582; VHB: A)

Publikationsart

Artikel in wissenschaftlicher Zeitschrift

Abstract

We develop a simulation algorithm that generates multivariate samples with exact means, covariances, and multivariate skewness. If required for financial applications, absence of arbitrage can be ensured. Potential applications include the simulation of risk factors for the risk management of financial institutions. We use the Kollo measure of multivariate skewness, which is more informative for these applications than the Mardia skewness previously used in this context.

Mitarbeiter

Einrichtungen

  • Institut für Finanzdienstleistungen
  • Lehrstuhl für Finance

DOI

http://dx.doi.org/https://doi.org/10.1016/j.ejor.2017.05.023