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 |
-
Stock recommendations from stochastic discounted cash flows
Bottazzi, Giulio, (2020)
-
Volatility targeting using delayed diffusions
Torricelli, Lorenzo, (2018)
-
The economic significance of CDS price discovery
Xiang, Vincent, (2017)
- More ...
-
On the Impacts of Overconfidence under Information Diversity*
Zhou, Deqing, (2019)
-
Rural energy resources : applications and consumption in China
Fang, Zhen, (1994)
-
An MLP model applicable to rural energy system
Fang, Zhen, (1994)
- More ...