267. Calibration and Higher Lower Partial Moments of Skew Elliptical Distributions
Invited abstract in session FD-4: Optimal control and stochastic optimal control - theory, methods and applications 1, stream Optimal control and stochastic optimal control - theory, methods and applications.
Friday, 14:10 - 15:50Room: M:M
Authors (first author is the speaker)
| 1. | Kerem Ugurlu
|
| Mathematics, Nazarbayev University |
Abstract
Higher lower partial moments for the skew elliptical family of probability distributions are retrieved. Explicit characterizations for skew normal and skew-t distributions are derived. Thorough numerical study on financial data is also illustrated. In particular, it is validated that daily log differences of stock prices can be characterized by the skew elliptical family, and the normal distribution assumption can not be statistically validated by the data. The work paves explicit methods for portfolio optimization with respect to lower partial moments of the financial data.
Keywords
- SS - Optimal Control and Optimization in Economics, Finance
- SS - Optimal and stochastic optimal control and games
Status: accepted
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