Least Quartic regression criterion to evaluate systematic risk in the presence of co-skewness and co-kurtosis
Year of publication: |
2020
|
---|---|
Authors: | Arbia, Giuseppe ; Bramante, Riccardo ; Facchinetti, Silvia |
Published in: |
Risks. - Basel : MDPI, ISSN 2227-9091. - Vol. 8.2020, 3, p. 1-14
|
Publisher: |
Basel : MDPI |
Subject: | co-skewness | co-kurtosis | least quartic criterion | systematic riskevaluation | portfolio optimization |
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