Portfolio optimization with serially correlated, skewed and fat tailed index returns (Q300967): Difference between revisions
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| Property / full work available at URL: https://doi.org/10.1007/s10100-011-0219-2 / rank | |||
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| Property / cites work: The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments / rank | |||
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| Property / cites work: Portfolio Selection and Asset Pricing—Three-Parameter Framework / rank | |||
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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)
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29 June 2016
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unsmoothing algorithm
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utility approximation with Taylor series
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expansion
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serially correlated returns
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four moment efficient portfolios
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