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International Portfolio Optimization with Higher Moments

Author

Listed:
  • Maroua Mhiri
  • Jean-Luc Prigent

    (THEMA - Théorie économique, modélisation et applications - CNRS - Centre National de la Recherche Scientifique - CY - CY Cergy Paris Université)

Abstract

No abstract is available for this item.

Suggested Citation

  • Maroua Mhiri & Jean-Luc Prigent, 2010. "International Portfolio Optimization with Higher Moments," Post-Print hal-03679712, HAL.
    • Handle: RePEc:hal:journl:hal-03679712
    DOI: 10.5539/ijef.v2n5p157
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    Citations

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    Cited by:

    1. M. D. Braga & C. R. Nava & M. G. Zoia, 2023. "Kurtosis-based risk parity: methodology and portfolio effects," Quantitative Finance, Taylor & Francis Journals, vol. 23(3), pages 453-469, 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. Stéphane Hamayon & Florence Legros & Pradat Yannick, 2016. "Non gaussian returns: which impact on default options retirement plans? [Distribution non gaussienne des rendements : quel impact sur les options par défaut des plans d'épargne retraite ?]," Working Papers hal-03003588, HAL.
    4. 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.
    5. Anthony D Hall & Stephen E Satchell, 2013. "The anatomy of portfolio skewness and kurtosis," Journal of Asset Management, Palgrave Macmillan, vol. 14(4), pages 228-235, August.
    6. Jie Wang & Shenglong Hu & Zheng-Hai Huang, 2018. "Solution Sets of Quadratic Complementarity Problems," Journal of Optimization Theory and Applications, Springer, vol. 176(1), pages 120-136, January.

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