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Multi-moment Asset Allocation and Pricing Models

Author

Listed:
  • Bertrand Maillet

    () (CES - Centre d'économie de la Sorbonne - UP1 - Université Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

  • Emmanuel Jurczenko

    (ESCP-EAP - ESCP-EAP - Ecole Supérieure de Commerce de Paris)

Abstract

No abstract is available for this item.

Suggested Citation

  • Bertrand Maillet & Emmanuel Jurczenko, 2006. "Multi-moment Asset Allocation and Pricing Models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00308990, HAL.
  • Handle: RePEc:hal:cesptp:hal-00308990
    Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00308990
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    Citations

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    Cited by:

    1. Cécile Kharoubi-Rakotomalala & Christophe Moussu, 2008. "Impact du cadre légal sur le revenu des actionnaires:preuve par la non-normalité," Revue Finance Contrôle Stratégie, revues.org, vol. 11(1), pages 185-223, March.
    2. Gulder Kemalbay & C. Murat Ozkut & Ceki Franko, 2011. "Portfolio Selection with Higher Moments: A Polynomial Goal Programming Approach to ISE-30 Index," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 13(1), pages 41-61, Special I.
    3. Wei-Han Liu, 2014. "Optimal hedge ratio estimation and hedge effectiveness with multivariate skew distributions," Applied Economics, Taylor & Francis Journals, vol. 46(12), pages 1420-1435, April.
    4. Juliane Proelss & Denis Schweizer, 2014. "Polynomial goal programming and the implicit higher moment preferences of US institutional investors in hedge funds," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(1), pages 1-28, February.
    5. Markus Haas, 2007. "Do investors dislike kurtosis?," Economics Bulletin, AccessEcon, vol. 7(2), pages 1-9.
    6. repec:gam:jjrfmx:v:11:y:2018:i:2:p:27-:d:148621 is not listed on IDEAS
    7. Kerstens, Kristiaan & Mounir, Amine & Van de Woestyne, Ignace, 2011. "Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function," European Journal of Operational Research, Elsevier, vol. 210(1), pages 81-94, April.
    8. K. Saranya & P. Prasanna, 2014. "Portfolio Selection and Optimization with Higher Moments: Evidence from the Indian Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(2), pages 133-149, May.
    9. repec:eee:wdevel:v:105:y:2018:i:c:p:299-309 is not listed on IDEAS
    10. Mukasa Adamon N., 2016. "Working Paper 233 - Technology Adoption and Risk Exposure among Smallholder Farmers: Panel Data Evidence from Tanzania and Uganda," Working Paper Series 2328, African Development Bank.
    11. 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.
    12. Trino-Manuel Niguez & Ivan Paya & David Peel & Javier Perote, 2013. "Higher-order moments in the theory of diversification and portfolio composition," Working Papers 18297128, Lancaster University Management School, Economics Department.
    13. Eduardo Ariel Corso, 2013. "Cross Fertilizations and Controversies in the Origins and Evolution of Portfolio Selection Models," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, vol. 1(68), pages 43-74, June.
    14. León, Angel & Moreno, Manuel, 2017. "One-sided performance measures under Gram-Charlier distributions," Journal of Banking & Finance, Elsevier, vol. 74(C), pages 38-50.
    15. Briec, Walter & Kerstens, Kristiaan, 2010. "Portfolio selection in multidimensional general and partial moment space," Journal of Economic Dynamics and Control, Elsevier, vol. 34(4), pages 636-656, April.
    16. Alexios Ghalanos & Eduardo Rossi & Giovanni Urga, 2015. "Independent Factor Autoregressive Conditional Density Model," Econometric Reviews, Taylor & Francis Journals, vol. 34(5), pages 594-616, May.
    17. Xavier Vollenweider, 2014. "A simple framework for the estimation of climate exposure," GRI Working Papers 158, Grantham Research Institute on Climate Change and the Environment.
    18. Kent Smetters & Xingtan Zhang, 2013. "A Sharper Ratio: A General Measure for Correctly Ranking Non-Normal Investment Risks," NBER Working Papers 19500, National Bureau of Economic Research, Inc.
    19. repec:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-016-2137-0 is not listed on IDEAS
    20. León, Ángel & Moreno, Manuel, 2015. "Lower Partial Moments under Gram Charlier Distribution: Performance Measures and Efficient Frontiers," QM&ET Working Papers 15-3, University of Alicante, D. Quantitative Methods and Economic Theory.
    21. Domino, Krzysztof, 2017. "The use of the multi-cumulant tensor analysis for the algorithmic optimisation of investment portfolios," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 267-276.

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