Hedge fund portfolio selection with higher-order moments : a nonparametric mean-variance-skewness-kurtosis efficient frontier
Year of publication: |
2006
|
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Authors: | Jurczenko, Emmanuel ; Maillet, Bertrand ; Merlin, Paul |
Published in: |
Multi-moment asset allocation and pricing models. - Chichester : Wiley, ISBN 0-470-03415-7. - 2006, p. 51-66
|
Subject: | Portfolio-Management | Portfolio selection | Hedgefonds | Hedge fund | Nichtparametrisches Verfahren | Nonparametric statistics | Theorie | Theory |
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