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The Portfolio Frontier with Higher Moments: The Undiscovered Country

Author

Listed:
  • Gustavo Athayde
  • Renato G. Flores

Abstract

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Suggested Citation

  • Gustavo Athayde & Renato G. Flores, 2002. "The Portfolio Frontier with Higher Moments: The Undiscovered Country," Computing in Economics and Finance 2002 209, Society for Computational Economics.
    • Handle: RePEc:sce:scecf2:209
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    Cited by:

    1. Yajie Yang & Longfeng Zhao & Lin Chen & Chao Wang & Jihui Han, 2021. "Portfolio optimization with idiosyncratic and systemic risks for financial networks," Papers 2111.11286, arXiv.org.
    2. Kolm, Petter N. & Tütüncü, Reha & Fabozzi, Frank J., 2014. "60 Years of portfolio optimization: Practical challenges and current trends," European Journal of Operational Research, Elsevier, vol. 234(2), pages 356-371.
    3. Asmerilda Hitaj & Lorenzo Mercuri, 2013. "Portfolio allocation using multivariate variance gamma models," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(1), pages 65-99, March.
    4. Asmerilda Hitaj & Giovanni Zambruno, 2016. "Are Smart Beta strategies suitable for hedge fund portfolios?," Review of Financial Economics, John Wiley & Sons, vol. 29(1), pages 37-51, April.

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