Flexible distribution functions, higher-order preferences and optimal portfolio allocation

DOI10.1080/14697688.2018.1550264zbMath1420.91429OpenAlexW2908266034WikidataQ128417189 ScholiaQ128417189MaRDI QIDQ5234321

Trino-Manuel Ñíguez, Javier Perote, Ivan Paya, David A. Peel

Publication date: 26 September 2019

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

Full work available at URL: https://eprints.lancs.ac.uk/id/eprint/129146/1/Quant_Finance_Full_Paper.pdf

zbMATH Keywords

decision analysisportfolio choicehigher-order moments and preferencesweighted generalized beta of the second kind

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (3)

Optimal annuity demand for general expected utility agents ⋮ Further exploration into the valid regions of Gram-Charlier densities ⋮ The valid regions of Gram-Charlier densities with high-order cumulants

Cites Work

• Some Generalized Functions for the Size Distribution of Income

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