A theoretical generalization of the Markowitz model incorporating skewness and kurtosis (Q6101079)
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scientific article; zbMATH DE number 7698415
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| English | A theoretical generalization of the Markowitz model incorporating skewness and kurtosis |
scientific article; zbMATH DE number 7698415 |
Statements
A theoretical generalization of the Markowitz model incorporating skewness and kurtosis (English)
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20 June 2023
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portfolio optimization
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higher moments
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skewness
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kurtosis
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mathematical programming
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0.8070694804191589
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0.8027467727661133
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0.7991198897361755
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0.7969990372657776
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