Portfolio selection with higher moments (Q3568905): Difference between revisions

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-John C. Liechty
@@ Property / author: John C. Liechty / rank @@
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+John C. Liechty
@@ Property / author: John C. Liechty / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1080/14697681003756877
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@@ Property / OpenAlex ID @@
+W3122732812
@@ Property / OpenAlex ID: W3122732812 / rank @@
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@@ Property / cites work @@
+Asset pricing and portfolio selection based on the multivariate extended skew-student-\(t\) distribution
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@@ Property / cites work @@
+Finding a maximum skewness portfolio -- a general solution to three-moments portfolio choice
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@@ Property / cites work @@
+The multivariate skew-normal distribution
@@ Property / cites work: The multivariate skew-normal distribution / rank @@
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@@ Property / cites work @@
+A Theory of Volatility Spreads
@@ Property / cites work: A Theory of Volatility Spreads / rank @@
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+Rare Disasters and Asset Markets in the Twentieth Century*
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+A general class of multivariate skew-elliptical distributions
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+Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach
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+The portfolio choice problem: comparison of certainty equivalence and optimal Bayes portfolios
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@@ Property / cites work @@
+Optimal portfolio allocation with higher moments
@@ Property / cites work: Optimal portfolio allocation with higher moments / rank @@
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@@ Property / cites work @@
+Gibbs Sampling for Bayesian Non-Conjugate and Hierarchical Models by Using Auxiliary Variables
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+Portfolio selection in downside risk optimization approach: application to the Hong Kong stock market
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+Asset allocation under multivariate regime switching
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+Estimation for Markowitz Efficient Portfolios
@@ Property / cites work: Estimation for Markowitz Efficient Portfolios / rank @@
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@@ Property / cites work @@
+A mean-absolute deviation-skewness portfolio optimization model
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@@ Property / cites work @@
+Computation of mean-semivariance efficient sets by the critical line algorithm
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@@ Property / cites work @@
+The likelihood of various stock market return distributions. II: Empirical results
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+Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
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+Safety First and the Holding of Assets
@@ Property / cites work: Safety First and the Holding of Assets / rank @@
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@@ Property / cites work @@
+A new class of multivariate skew distributions with applications to bayesian regression models
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@@ Property / cites work @@
+Prediction and Decision Problems in Regression Models from the Bayesian Point of View
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@@ links / mardi / name / links / mardi / name @@
+Publication:3568905