Dynamic core-satellite investing using higher order moments: an explicit solution

DOI10.1080/14697688.2023.2269987OpenAlexW4388047381MaRDI QIDQ6127433

Yan-Feng Wang, Leopoldo Catania, Wanbo Lu

Publication date: 12 April 2024

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

Full work available at URL: https://doi.org/10.1080/14697688.2023.2269987

zbMATH Keywords

sensitivityexplicit solutionhigher order momentscore-satellite investing

Mathematics Subject Classification ID

Portfolio theory (91G10)

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