Reconciling mean-variance portfolio theory with non-Gaussian returns (Q2242280): Difference between revisions

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+Mean-variance-skewness efficient surfaces, Stein's lemma and the multivariate extended skew-Student distribution
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+Finding a maximum skewness portfolio -- a general solution to three-moments portfolio choice
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+Bayesian estimation of the efficient frontier
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+Beyond expected utility: subjective risk aversion and optimal portfolio choice under convex shortfall risk measures
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+Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach
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+Portfolio selection with skewness: a comparison of methods and a generalized one fund result
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+A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
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+Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
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+Independent Factor Autoregressive Conditional Density Model
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+Robust Portfolio Selection Problems
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+Portfolio selection with higher moments
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+Finite horizon portfolio selection with a negative wealth constraint
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+A well-conditioned estimator for large-dimensional covariance matrices
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+The benefits of differential variance-based constraints in portfolio optimization
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+Mean-VaR portfolio optimization: a nonparametric approach
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+Mean-variance approximations to expected utility
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+Portfolio Selection and Asset Pricing—Three-Parameter Framework
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+What is the Opportunity Cost of Mean-Variance Investment Strategies?
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+The opportunity cost of mean-variance choice under estimation risk
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