Estimating the higher-order co-moment with non-Gaussian components and its application in portfolio selection

DOI10.1080/02331888.2022.2074006MaRDI QIDQ5089923zbMATH OpenOpenAlexFDO

Authors Wanbo Lu, Guanglin Huang

Publication date 15 July 2022

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331888.2022.2074006

zbMATH Keywords

portfolio selectionnon-Gaussian distributionshigher-order multi-cumulantobserved factor models

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A misspecification test for the higher order co-moments of the factor model
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• Financial data and the skewed generalized \(t\) distribution
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• Mean-variance approximations to expected utility
• Modeling financial return dynamics via decomposition
• Nearest comoment estimation with unobserved factors
• Optimal portfolio allocation with higher moments
• Portfolio selection with skewness: a comparison of methods and a generalized one fund result
• Robust mean-variance portfolio through the weighted L^p depth function
• The Efficiency Analysis of Choices Involving Risk
• The Percentile Points of Distributions Having Known Cumulants

Cited in

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• Higher order moments of the estimated tangency portfolio weights

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