Martellini, Lionel; Ziemann, Volker - In: Review of Financial Studies 23 (2010) 4, pp. 1467-1502
In the presence of nonnormally distributed asset returns, optimal portfolio selection techniques require estimates for variance-covariance parameters, along with estimates for higher-order moments and comoments of the return distribution. This is a formidable challenge that severely exacerbates...