A theoretical generalization of the Markowitz model incorporating skewness and kurtosis
Year of publication: |
2023
|
---|---|
Authors: | Uberti, Pierpaolo |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 23.2023, 5, p. 877-886
|
Subject: | Higher moments | Kurtosis | Mathematical programming | Portfolio optimization | Skewness | Theorie | Theory | Mathematische Optimierung | Portfolio-Management | Portfolio selection | Statistische Verteilung | Statistical distribution | Kapitaleinkommen | Capital income |
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