A \textit{meta}-measure of performance related to both investors and investments characteristics
From MaRDI portal
Publication:2151684
DOI10.1007/s10479-020-03771-wzbMath1494.91132MaRDI QIDQ2151684
Loriana Pelizzon, Monica Billio, Bertrand Maillet
Publication date: 5 July 2022
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-020-03771-w
91G10: Portfolio theory
Cites Work
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order
- Risk-aversion, prudence and temperance
- On the intensity of downside risk aversion
- Mixed risk aversion
- Krein condition in probabilistic moment problems
- Dynamic risk exposures in hedge funds
- Proper prudence, standard prudence and precautionary vulnerability
- Taylor series approximations to expected utility and optimal portfolio choice
- A financial fraud detection indicator for investors: an \textit{IDeA}
- Gram-Charlier densities: maximum likelihood versus the method of moments
- Mean-variance approximations to expected utility
- 60 years of portfolio optimization: practical challenges and current trends
- Increasing outer risk
- Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach
- Applications of Gram–Charlier expansion and bond moments for pricing of interest rates and credit risk
- Risk and Rationality: Uncovering Heterogeneity in Probability Distortion
- T. N. Thiele's Contributions to Statistics
- A note on skewness and kurtosis adjusted option pricing models under the Martingale restriction*
- The Early History of the Cumulants and the Gram‐Charlier Series
- Standard Risk Aversion
- The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments
- The Construction of Utility Functions from Expenditure Data
- The conditions under which Gram-Charlier and Edgeworth curves are positive definite and unimodal
- Gram-Charlier densities.
