Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments
Year of publication: |
2014
|
---|---|
Authors: | Kim, Woo Chang ; Fabozzi, Frank J. ; Cheridito, Patrick ; Fox, Charles |
Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 122.2014, 2, p. 154-158
|
Subject: | Portfolio selection | Robust portfolio | Higher moments | Mean-variance framework | Portfolio-Management | Theorie | Theory | Statistische Verteilung | Statistical distribution | Momentenmethode | Method of moments | Kapitaleinkommen | Capital income |
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