Portfolio optimization with serially correlated, skewed and fat tailed index returns (Q300967): Difference between revisions
From MaRDI portal
Created a new Item |
ReferenceBot (talk | contribs) Changed an Item |
||
| (4 intermediate revisions by 4 users not shown) | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G60 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 62P05 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91G70 / rank | |||
Normal rank | |||
| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 91B84 / rank | |||
Normal rank | |||
| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6599396 / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
unsmoothing algorithm | |||
| Property / zbMATH Keywords: unsmoothing algorithm / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
utility approximation with Taylor series | |||
| Property / zbMATH Keywords: utility approximation with Taylor series / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
expansion | |||
| Property / zbMATH Keywords: expansion / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
serially correlated returns | |||
| Property / zbMATH Keywords: serially correlated returns / rank | |||
Normal rank | |||
| Property / zbMATH Keywords | |||
four moment efficient portfolios | |||
| Property / zbMATH Keywords: four moment efficient portfolios / rank | |||
Normal rank | |||
| 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 | |||
| links / mardi / name | links / mardi / name | ||
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
