An efficient DC programming approach for portfolio decision with higher moments
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Bibliographic InfoArticle provided by Springer in its journal Computational Optimization and Applications.
Volume (Year): 50 (2011)
Issue (Month): 3 (December)
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Web page: http://www.springer.com/math/journal/10589
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Les Cahiers de Recherche
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- Jondeau, E. & Rockinger, M., 2000. "Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence," Working papers 77, Banque de France.
- Jean, William H., 1971. "The Extension of Portfolio Analysis to Three or More Parameters," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(01), pages 505-515, January.
- Arditti, Fred D & Levy, Haim, 1975. "Portfolio Efficiency Analysis in Three Moments: The Multiperiod Case," Journal of Finance, American Finance Association, vol. 30(3), pages 797-809, June.
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