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

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Reference

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)

Publication type

Refereed Journal Article

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.

Persons

Organizational Units

  • Institute for Financial Services
  • Chair in Finance

Original Source URL

Link

DOI

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