Pages that link to "Item:Q3568905"
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The following pages link to Portfolio selection with higher moments (Q3568905):
Displaying 50 items.
- Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data (Q378919) (← links)
- Optimal unbiased estimation of some population central moments (Q478371) (← links)
- A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function (Q492800) (← links)
- Optimal portfolio allocation with higher moments (Q665798) (← links)
- Unbiased estimates for moments and cumulants in linear regression (Q719484) (← links)
- Higher-order comoments and asset returns: evidence from emerging equity markets (Q829162) (← links)
- Robust portfolios: contributions from operations research and finance (Q993719) (← links)
- A new fuzzy multi-objective higher order moment portfolio selection model for diversified portfolios (Q1620084) (← links)
- Portfolio selection in a multi-moment setting: a simple Monte-Carlo-FDH algorithm (Q1695045) (← links)
- Financial analysis based sectoral portfolio optimization under second order stochastic dominance (Q1699135) (← links)
- Using parametric classification trees for model selection with applications to financial risk management (Q1751885) (← links)
- The dynamic Black-Litterman approach to asset allocation (Q1751931) (← links)
- Optimizing 3-objective portfolio selection with equality constraints and analyzing the effect of varying constraints on the efficient sets (Q1983708) (← links)
- Location-scale portfolio selection with factor-recentered skew normal asset returns (Q1991942) (← links)
- Copula shrinkage and portfolio allocation in ultra-high dimensions (Q2098001) (← links)
- Central moments, stochastic dominance, moment rule, and diversification with an application (Q2112856) (← links)
- Why estimation alone causes Markowitz portfolio selection to fail and what we might do about it (Q2140218) (← links)
- A globally convergent method for solving a quartic generalized Markowitz portfolio problem (Q2143112) (← links)
- Gainers and losers with higher order portfolio risk optimization (Q2165668) (← links)
- Nearest comoment estimation with unobserved factors (Q2190230) (← links)
- Minimum Rényi entropy portfolios (Q2241052) (← links)
- Reconciling mean-variance portfolio theory with non-Gaussian returns (Q2242280) (← links)
- Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs (Q2247929) (← links)
- Global optimization of general nonconvex problems with intermediate polynomial substructures (Q2250104) (← links)
- On the multivariate extended skew-normal, normal-exponential, and normal-gamma distributions (Q2320797) (← links)
- Estimation of optimal portfolio weights under parameter uncertainty and user-specified constraints: a perturbation method (Q2320916) (← links)
- Large-scale portfolio allocation under transaction costs and model uncertainty (Q2323379) (← links)
- Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy (Q2334406) (← links)
- Portfolio selection with skewness: a comparison of methods and a generalized one fund result (Q2355960) (← links)
- A closed-form solution of the Black-Litterman model with conditional value at risk (Q2417059) (← links)
- Efficient expressions for moments of dependent random sums using copulas (Q2423499) (← links)
- 60 years of portfolio optimization: practical challenges and current trends (Q2514707) (← links)
- Mean-variance-skewness efficient surfaces, Stein's lemma and the multivariate extended skew-Student distribution (Q2514710) (← links)
- Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation (Q2630119) (← links)
- Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model (Q2673808) (← links)
- Partially linear models with \(p\)-order autoregressive skew-normal errors (Q2679736) (← links)
- DRAWDOWN MEASURES AND RETURN MOMENTS (Q4555853) (← links)
- Portfolio selection with commodities under conditional copulas and skew preferences (Q4683000) (← links)
- SKEWNESS‐AWARE ASSET ALLOCATION: A NEW THEORETICAL FRAMEWORK AND EMPIRICAL EVIDENCE (Q4906535) (← links)
- The effectiveness of incorporating higher moments in portfolio strategies: evidence from the Chinese commodity futures markets (Q4991049) (← links)
- Including commodity futures in asset allocation in China (Q5026528) (← links)
- Higher moments in the fundamental specification of electricity forward prices (Q5051979) (← links)
- m-Double Poisson Lévy markets (Q5139259) (← links)
- Elementary expressions for moments of truncated negative binomial random variables (Q5160291) (← links)
- Portfolio choice with skewness preference and wealth-dependent risk aversion (Q5212068) (← links)
- A misspecification test for the higher order co-moments of the factor model (Q5742593) (← links)
- Higher order moments of the estimated tangency portfolio weights (Q5861531) (← links)
- Portfolio management with higher moments: the cardinality impact (Q6066673) (← links)
- Portfolio selection under uncertainty: a new methodology for computing relative‐robust solutions (Q6070503) (← links)
- Hedging longevity risk under non-Gaussian state-space stochastic mortality models: a mean-variance-skewness-kurtosis approach (Q6152687) (← links)
