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Incorporating skewness and kurtosis in portfolio optimization

  • Published:2003 Issue: Volume: Page:243-257
  • ISSN:
  • Container-title:Advances in Portfolio Construction and Implementation
  • language:
  • Short-container-title:

Author:

Athayde Gustavo M De,Flôres Renato G

Publisher

Elsevier

Reference16 articles.

1. A Few More Moments to Finance Theory: Introducing Higher Moments in Investment Theory and econometrics;Athayde,2001

2. A Characterisation of the Distributions that Imply Mean-Variance Utility Functions;Chamberlain;Journal of Economic Theory,1983

3. Non-Normality of Returns in Emerging Markets;Eftekhari;Research in International Business and Finance,1996

4. Multidimensional Security Pricing;Ingersoll;Journal of Financial and Quantitative Analysis,1975

5. Skewness preference and the valuation of risk assets;Kraus;Journal of Finance,1976

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3. On the Spectral Decomposition of Portfolio Skewness and its Application to Portfolio Optimization;SSRN Electronic Journal;2023

4. Optimising portfolio diversification and dimensionality;Journal of Global Optimization;2022-07-02

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