Portfolio optimization with serially correlated, skewed and fat tailed index returns (Q300967): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
ReferenceBot (talk | contribs) Changed an Item |
||
| (2 intermediate revisions by 2 users not shown) | |||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1007/s10100-011-0219-2 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2045005934 / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments / rank | |||
Normal rank | |||
| Property / cites work | |||
| Property / cites work: Portfolio Selection and Asset Pricing—Three-Parameter Framework / rank | |||
Normal rank | |||
Latest revision as of 05:42, 12 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio optimization with serially correlated, skewed and fat tailed index returns |
scientific article |
Statements
Portfolio optimization with serially correlated, skewed and fat tailed index returns (English)
0 references
29 June 2016
0 references
unsmoothing algorithm
0 references
utility approximation with Taylor series
0 references
expansion
0 references
serially correlated returns
0 references
four moment efficient portfolios
0 references
