Do we need higher-order comoments to enhance mean-variance portfolios? : evidence from a simplified jump process
Khaldoun Khashanah, Majeed Simaan, Yusif Simaan
| Year of publication: |
2022
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|---|---|
| Authors: | Khashanah, Khaldoun ; Simaan, Majeed ; Simaan, Yusif E. |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 81.2022, p. 1-15
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| Subject: | Multivariate analysis | Non-elliptical distributions | Shrinkage | Utility theory | Portfolio-Management | Portfolio selection | Multivariate Analyse | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2022.102068 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013396207