Jurczenko, Emmanuel F.; Maillet, Bertrand; Merlin, Paul M. - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2008
This article proposes a non-parametric portfolio selection criterion for the static asset allocation problem in a robust higher-moment framework. Adopting the Shortage Function approach, we generalize the multi-objective optimization technique in a four-dimensional space using L-moments, and...