An efficient DC programming approach for portfolio decision with higher moments
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Volume (Year): 50 (2011)
Issue (Month): 3 (December)
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References listed on IDEAS
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- Le An & Pham Tao, 2005. "The DC (Difference of Convex Functions) Programming and DCA Revisited with DC Models of Real World Nonconvex Optimization Problems," Annals of Operations Research, Springer, vol. 133(1), pages 23-46, January.
- ROCKINGER, Michael & JONDEAU, Eric, 2000.
"Conditional Volatility, Skewness, and Kurtosis : Existence and Persistence,"
Les Cahiers de Recherche
710, HEC Paris.
- Michael Rockinger & Eric Jondeau, 2000. "Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence," Working Papers hal-00601486, HAL.
- Jondeau, E. & Rockinger, M., 2000. "Conditional Volatility, Skewness, and Kurtosis: Existence and Persistence," Working papers 77, Banque de France.
- Norbert Jobst & Stavros A. Zenios, 2001. "The Tail that Wags the Dog: Integrating Credit Risk in Asset Portfolios," Center for Financial Institutions Working Papers 01-24, Wharton School Center for Financial Institutions, University of Pennsylvania.
- 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.
- Campbell R. Harvey & Akhtar Siddique, 2000. "Conditional Skewness in Asset Pricing Tests," Journal of Finance, American Finance Association, vol. 55(3), pages 1263-1295, 06.
- 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. Full references (including those not matched with items on IDEAS)
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