Portfolio selection with higher moments

DOI10.1080/14697681003756877zbMath1195.91181OpenAlexW3122732812MaRDI QIDQ3568905

Merrill W. Liechty, Peter Mueller, C. R. Harvey, John C. Liechty

Publication date: 16 June 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697681003756877

zbMATH Keywords

parameter uncertaintymultivariate skewnessoptimal portfoliosBayesian decision problemutility function maximization

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Bayesian inference (62F15) Portfolio theory (91G10)

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