Effects of skewness and kurtosis on portfolio rankings

DOI10.1080/14697688.2010.495723MaRDI QIDQ4911222zbMATH OpenOpenAlexFDO

Authors Massimo Di Pierro, Jack W. Mosevich

Publication date 14 March 2013

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2010.495723

zbMATH Keywords

exponential utilitykurtosisportfolio rankingsskewness

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• Coherent measures of risk
• The bargaining problem
• THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY

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