Theoretical Foundations of Asset Allocation and Pricing Models with Higher-order Moments-Reference-Cited by-同舟云学术

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Theoretical Foundations of Asset Allocation and Pricing Models with Higher-order Moments

Published:2015-08-28 Issue: Volume: Page:1-36
ISSN:
Container-title:Multi-moment Asset Allocation and Pricing Models
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Author:

Jurczenko Emmanuel,Maillet Bertrand

Publisher

John Wiley & Sons, Inc.

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1002/9781119201830.ch1/fullpdf

Reference117 articles.

1. Adcock , C. 2003 Asset Pricing and Portfolio Selection Based on the Multivariate Skew-Student Distribution

2. Risks and Portfolio Decisions involving Hedge Funds;Agarwal;Review of Financial Studies,2004

3. Amilon , H. 2001 Comparison of Mean-Variance and Exact Utility Maximisation in Stock Portfolio Selection

4. Athayde , G. R. Flôres 2002 Portfolio Frontier with Higher Moments: the Undiscovered Country

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1. Risk-sensitive control of Markov decision processes: A moment-based approach with target distributions;Computers & Operations Research;2020-11

2. Higher order moments of the estimated tangency portfolio weights;Journal of Applied Statistics;2020-03-05

3. On the (Ab)Use of Omega?;SSRN Electronic Journal;2015

4. The Impact of Higher Order Moments on Market Risk Assessment;Procedia Economics and Finance;2014

5. Taylor series approximations to expected utility and optimal portfolio choice;Mathematics and Financial Economics;2011-09

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