Portfolio selection with higher moments
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References listed on IDEAS
- DeMiguel, Victor & Plyakha, Yuliya & Uppal, Raman & Vilkov, Grigory, 2013.
"Improving Portfolio Selection Using Option-Implied Volatility and Skewness,"
Journal of Financial and Quantitative Analysis,
Cambridge University Press, vol. 48(06), pages 1813-1845, December.
- DeMiguel, Victor & Plyakha, Yuliya & Uppal, Raman & Vilkov, Grigory, 2010. "Improving Portfolio Selection Using Option-Implied Volatility and Skewness," CEPR Discussion Papers 7686, C.E.P.R. Discussion Papers.
- Nicholas Barberis & Ming Huang, 2008.
"Stocks as Lotteries: The Implications of Probability Weighting for Security Prices,"
American Economic Review,
American Economic Association, vol. 98(5), pages 2066-2100, December.
- Nicholas Barberis & Ming Huang, 2007. "Stocks as Lotteries: The Implications of Probability Weighting for Security Prices," NBER Working Papers 12936, National Bureau of Economic Research, Inc.
- Eric Jondeau & Michael Rockinger, 2006. "The Economic Value of Distributional Timing," Swiss Finance Institute Research Paper Series 06-35, Swiss Finance Institute.
More about this item
KeywordsBayesian decision problem; Multivariate skewness; Parameter uncertainty; Optimal portfolios; Utility function maximization;
StatisticsAccess and download statistics
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