Covers conditional distributions and correlations in multivariate statistics, including partial variance and covariance, with applications to non-normal distributions.
Explores the limit distribution of componentwise maxima of independent random variables, leading to a non-degenerate distribution with unit Fréchet margins.
Explores the stochastic properties and modelling of time series, covering autocovariance, stationarity, spectral density, estimation, forecasting, ARCH models, and multivariate modelling.
Explores Portfolio Theory with a focus on the Risk Parity Strategy, discussing asset allocation proportional to the inverse of volatility and comparing different diversified portfolios.
Explores portfolio optimization models and strategies under uncertainty, emphasizing decision criteria like value-at-risk and mean-variance functional.
