A closed-form mean-variance-skewness portfolio strategy
Year of publication: |
2022
|
---|---|
Authors: | Zhen, Fang ; Chen, Jingnan |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 47.2022, 2, p. 1-10
|
Subject: | Asymmetry | Mean-variance-skewness frontier | Normal-gamma distribution | Portfolio strategy | Three-moment capital asset pricing model | Portfolio-Management | Portfolio selection | Theorie | Theory | CAPM |
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