Higher order moments of the estimated tangency portfolio weights
Author:
Affiliation:
1. Örebro University School of Business, Örebro, Sweden
2. Department of Mathematics, Linköping University, Linköping, Sweden
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/02664763.2020.1736523
Reference48 articles.
1. Expected Shortfall: A Natural Coherent Alternative to Value at Risk
2. Economic implications of using a mean-VaR model for portfolio selection: A comparison with mean-variance analysis
3. A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model
4. BAYESIAN INFERENCE FOR THE TANGENT PORTFOLIO
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