Efficient frontier for robust higher-order moment portfolio selection
Download full text from publisher
Other versions of this item:
- 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.
References listed on IDEAS
- Amable, Bruno & Demmou, Lilas & Gatti, Donatella, 2007. "Employment Performance and Institutions: New Answers to an Old Question," IZA Discussion Papers 2731, Institute for the Study of Labor (IZA).
- Masahiko Aoki, 2013.
"The Contingent Governance Of Teams: Analysis Of Institutional Complementarity,"
Chapters,in: Comparative Institutional Analysis, chapter 14, pages 230-249
Edward Elgar Publishing.
- Aoki, Masahiko, 1994. "The Contingent Governance of Teams: Analysis of Institutional Complementarity," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(3), pages 657-676, August.
- Amable, Bruno & Gatti, Donatella, 2004. "Labour and Product Market Reforms: A Case for Policy Complementarity," IZA Discussion Papers 1190, Institute for the Study of Labor (IZA).
- Amable, Bruno, 2003. "The Diversity of Modern Capitalism," OUP Catalogue, Oxford University Press, number 9780199261147.
- Saint-Paul, Gilles, 2000. "The Political Economy of Labour Market Institutions," OUP Catalogue, Oxford University Press, number 9780198293323.
- Bruno Amable & Donatella Gatti, 2004. "Product market competition, job security, and aggregate employment," Oxford Economic Papers, Oxford University Press, vol. 56(4), pages 667-686, October.
- Nickell, Stephen, 1999. "Product markets and labour markets1," Labour Economics, Elsevier, vol. 6(1), pages 1-20, March.
- Amable, Bruno & Gatti, Donatella, 2004.
"The Political Economy of Job Protection and Income Redistribution,"
IZA Discussion Papers
1404, Institute for the Study of Labor (IZA).
- Bruno Amable & Donatella Gatti, 2005. "The political economy of job protection and income redistribution," PSE Working Papers halshs-00590841, HAL.
- Dean Baker & Andrew Glyn & David Howell & John Schmitt, 2002.
"Labor Market Institutions and Unemployment: A Critical Assessment of the Cross-Country Evidence,"
SCEPA working paper series. SCEPA's main areas of research are macroeconomic policy, inequality and poverty, and globalization.
2002-17, Schwartz Center for Economic Policy Analysis (SCEPA), The New School.
- Andrew Glyn, 2003. "Labor Market Institutions and Unemployment: A Critical Assessment of the Cross-Country Evidence," Economics Series Working Papers 168, University of Oxford, Department of Economics.
- Richard Freeman, 2005.
"Labour market institutions without blinders: The debate over flexibility and labour market performance,"
International Economic Journal,
Taylor & Francis Journals, vol. 19(2), pages 129-145.
- Richard B. Freeman, 2005. "Labour Market Institutions Without Blinders: The Debate over Flexibility and Labour Market Performance," NBER Working Papers 11286, National Bureau of Economic Research, Inc.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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
NEP fieldsThis paper has been announced in the following NEP Reports:
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mse:cesdoc:bla08062. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lucie Label) or (Joanne Lustig). General contact details of provider: http://edirc.repec.org/data/cenp1fr.html .
We have no references for this item. You can help adding them by using this form .