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Citations for "Portfolio selection with higher moments"

by Campbell Harvey & John Liechty & Merrill Liechty & Peter Muller

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  1. Michael Johannes & Arthur Korteweg & Nicholas Polson, 2014. "Sequential Learning, Predictability, and Optimal Portfolio Returns," Journal of Finance, American Finance Association, vol. 69(2), pages 611-644, 04.
  2. Marie Briere & Alexandre Burgues & Ombretta Signori, 2010. "Volatility exposure for strategic asset allocation," ULB Institutional Repository 2013/169642, ULB -- Universite Libre de Bruxelles.
  3. Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2012. "A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function," Papers 1207.1003, arXiv.org, revised Nov 2014.
  4. John D. Burger & Francis E. Warnock, 2004. "Foreign participation in local-currency bond markets," International Finance Discussion Papers 794, Board of Governors of the Federal Reserve System (U.S.).
  5. Brinkmann, Felix & Kempf, Alexander & Korn, Olaf, 2014. "Forward-looking measures of higher-order dependencies with an application to portfolio selection," CFR Working Papers 13-08 [rev.], University of Cologne, Centre for Financial Research (CFR).
  6. Andrew Ang & Joseph Chen & Yuhang Xing, 2005. "Downside Risk," NBER Working Papers 11824, National Bureau of Economic Research, Inc.
  7. Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2014. "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Papers 1401.3911, arXiv.org, revised Dec 2014.
  8. Kolm, Petter N. & Tütüncü, Reha & Fabozzi, Frank J., 2014. "60 Years of portfolio optimization: Practical challenges and current trends," European Journal of Operational Research, Elsevier, vol. 234(2), pages 356-371.
  9. Qian, Hang, 2011. "Bayesian Portfolio Selection in a Markov Switching Gaussian Mixture Model," MPRA Paper 35561, University Library of Munich, Germany.
  10. Walter Briec & Kristiaan Kerstens & Ignace Van de Woestyne, 2013. "Portfolio Selection with Skewness: A Comparison of Methods and a Generalized One Fund Result," Working Papers 2013-ECO-04, IESEG School of Management.
  11. Sévi, Benoît, 2013. "An empirical analysis of the downside risk-return trade-off at daily frequency," Economic Modelling, Elsevier, vol. 31(C), pages 189-197.
  12. Gan, Quan, 2014. "Location-scale portfolio selection with factor-recentered skew normal asset returns," Journal of Economic Dynamics and Control, Elsevier, vol. 48(C), pages 176-187.
  13. K. Saranya & P. Prasanna, 2014. "Portfolio Selection and Optimization with Higher Moments: Evidence from the Indian Stock Market," Asia-Pacific Financial Markets, Springer, vol. 21(2), pages 133-149, May.
  14. Garlappi, Lorenzo & Uppal, Raman & Wang, Tan, 2005. "Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach," CEPR Discussion Papers 5041, C.E.P.R. Discussion Papers.
  15. 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.
  16. DiTraglia, Francis J. & Gerlach, Jeffrey R., 2013. "Portfolio selection: An extreme value approach," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 305-323.
  17. Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2015. "Efficient Skewness/Semivariance Portfolios," GEMF Working Papers 2015-05, GEMF - Faculdade de Economia, Universidade de Coimbra.
  18. Batiz-Zuk, Enrique & Christodoulakis, George & Poon, Ser-Huang, 2015. "Credit contagion in the presence of non-normal shocks," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 129-139.
  19. Massimo Guidolin & Allan Timmerman, 2006. "International asset allocation under regime switching, skew and kurtosis preferences," Working Papers 2005-034, Federal Reserve Bank of St. Louis.
  20. Adcock, C.J., 2014. "Mean–variance–skewness efficient surfaces, Stein’s lemma and the multivariate extended skew-Student distribution," European Journal of Operational Research, Elsevier, vol. 234(2), pages 392-401.
  21. Keith Zorn & Nikolaos Sahinidis, 2014. "Global optimization of general nonconvex problems with intermediate polynomial substructures," Journal of Global Optimization, Springer, vol. 59(2), pages 673-693, July.
  22. Mariano Ruiz Espejo & Miguel Delgado Pineda & Saralees Nadarajah, 2013. "Optimal unbiased estimation of some population central moments," METRON, Springer, vol. 71(1), pages 39-62, June.
  23. Reinhold Hafner & Martin Wallmeier, 2008. "Optimal investments in volatility," Financial Markets and Portfolio Management, Springer, vol. 22(2), pages 147-167, June.
  24. Brinkmann, Felix & Kempf, Alexander & Korn, Olaf, 2013. "Forward-looking measures of higher-order dependencies with an application to portfolio selection," CFR Working Papers 13-08, University of Cologne, Centre for Financial Research (CFR).
  25. Y. Lemp\'eri\`ere & C. Deremble & T. T. Nguyen & P. Seager & M. Potters & J. P. Bouchaud, 2014. "Risk Premia: Asymmetric Tail Risks and Excess Returns," Papers 1409.7720, arXiv.org, revised Mar 2015.
  26. Low, Rand Kwong Yew & Alcock, Jamie & Faff, Robert & Brailsford, Timothy, 2013. "Canonical vine copulas in the context of modern portfolio management: Are they worth it?," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3085-3099.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.