Efficient frontier for robust higher-order moment portfolio selection
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- Emmanuel Jurczenko & Bertrand Maillet & Paul Merlin, 2008. "Efficient Frontier for Robust Higher-order Moment Portfolio Selection," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00336475, HAL.
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- 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.
- W. Briec & K. Kerstens, 2007. "Portfolio selection in multidimensional general and partial moment space," Post-Print hal-00296711, HAL.
- Walter Briec & Kristiaan Kerstens, 2009. "Portfolio Selection in Multidimensional General and Partial Moment Space," Working Papers 2009-ECO-08, IESEG School of Management.
- W. Briec & K. Kerstens, 2010. "Portfolio selection in multidimensional general and partial moment space," Post-Print halshs-00473219, HAL.
More about this item
KeywordsEfficient frontier; portfolio selection; robust higher L-moments; shortage function; goal attainment application.;
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- C45 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Neural Networks and Related Topics
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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