Portfolio Management With Higher Moments: The Cardinality Impact
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- R. P. Brito & H. Sebastião & P. Godinho, 2017.
"Portfolio choice with high frequency data: CRRA preferences and the liquidity effect,"
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More about this item
KeywordsPortfolio management; cardinality; expected utility maximization; CRRA preferences; derivative-free optimization; PSI20 index.;
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- C88 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Other Computer Software
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-UPT-2015-08-13 (Utility Models & Prospect Theory)
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