Optimal Hedge Fund Allocations: Do Higher Moments Matter?-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Optimal Hedge Fund Allocations: Do Higher Moments Matter?

Published:2004 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Cremers Jan-Hein,Kritzman Mark,Page Sebastien

Publisher

Elsevier BV

Reference4 articles.

1. Exposition of a New Theory on the Measurement of Risk;Daniel Bernoulli;Econometrica,1954

2. Prospect Theory: An Analysis of Decision Under Risk;D Kahnemann;Econometrica,1979

3. Approximating Expected Utility by a Function of Mean and Variance;Levy;American Economic Review,1979

4. Portfolio Formation with Higher Moments and Plausible Utility;J Cremers;Revere Street Working Paper Series, Financial Economics,2003

Cited by 7 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. On the relevance of higher-moments for portfolio-management within Islamic finance;International Journal of Islamic and Middle Eastern Finance and Management;2020-06-10

2. A Communication Theoretic Interpretation of Modern Portfolio Theory Including Short Sales, Leverage and Transaction Costs;Journal of Risk and Financial Management;2018-12-29

3. Asset Allocation: Analysis of Theory and Practice in the Australian Investment Management Industry;SSRN Electronic Journal;2014

4. Predicting Hedge Fund Failure: A Comparison of Risk Measures;SSRN Electronic Journal;2008

5. Optimal portfolio allocation with higher moments;Annals of Finance;2007-03-16

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP