Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments
Woo Chang Kim; Frank J. Fabozzi; Patrick Cheridito; Charles Fox
| 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 | Theorie | Theory | Portfolio-Management | Statistische Verteilung | Statistical distribution | Momentenmethode | Method of moments | Varianzanalyse | Analysis of variance |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010395223