Optimal portfolio allocation with higher moments

Author:

Cvitanić Jakša,Polimenis Vassilis,Zapatero Fernando

Publisher

Springer Science and Business Media LLC

Subject

General Economics, Econometrics and Finance,Finance

Reference38 articles.

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2. Aït-Sahalia Y. (2004) Disentangling diffusion from jumps. J Financ Econ 74, 487–528

3. Aït-Sahalia, Y., Cacho-Diaz, L., Hurd, T.: Portfolio choice with a large number of assets: jumps and diversification. Working paper, Princeton University (2006)

4. Ané T., Geman H. (2000) Order flow, transaction clock and normality of asset returns. J Financ 55, 2259–2284

5. Bansal R., Viswanathan S. (1993) No-arbitrage and arbitrage pricing. J Financ 48, 1231–1262

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