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

DOI10.1080/02331888.2022.2074006OpenAlexW4280549374MaRDI QIDQ5089923FDOQ5089923

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

• High dimensional covariance matrix estimation using a factor model
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Mean-variance approximations to expected utility
• Empirical properties of asset returns: stylized facts and statistical issues
• Common risk factors in the returns on stocks and bonds
• Financial data and the skewed generalized \(t\) distribution
• The Efficiency Analysis of Choices Involving Risk
• High-dimensional covariance matrix estimation in approximate factor models
• Optimal portfolio allocation with higher moments
• Portfolio selection with skewness: a comparison of methods and a generalized one fund result
• The Percentile Points of Distributions Having Known Cumulants
• Independent component analysis via optimum combining of kurtosis and skewness-based criteria
• A misspecification test for the higher order co-moments of the factor model
• Robust mean-variance portfolio through the weighted \(L^p\) depth function
• Modeling financial return dynamics via decomposition
• Nearest comoment estimation with unobserved factors

Cited In (1)

• Higher order moments of the estimated tangency portfolio weights

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