Analytic solution to the portfolio optimization problem in a mean-variance-skewness model
Zinoviy Landsman, Udi Makov and Tomer Shushi
| Year of publication: |
2020
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|---|---|
| Authors: | Landsman, Zinoviy ; Makov, Udi ; Shushi, Tomer |
| Published in: |
The European journal of finance. - London [u.a.] : Taylor & Francis Group, ISSN 1466-4364, ZDB-ID 2001610-4. - Vol. 26.2020, 2/3, p. 165-178
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| Subject: | Allocation rules | optimal portfolio selection | skew-elliptical distributions | skew-normal distributions | Theorie | Theory | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Konferenzbeitrag ; Conference paper ; Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2019.1618363 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012207192