Biased Estimations of Variance and Skewness
نویسندگان
چکیده
منابع مشابه
Improving skewness of mean-variance portfolios
The widely accepted belief that asset returns and insurance product line margins are not normally distributed has motivated the use of skewness (or higher than second order moments), in the context of optimal risk-reward portfolio allocation. Here, we propose an optimization-based methodology to substantially improve the skewness of portfolios in the mean-variance efficient frontier. Unlike oth...
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Article history: Received 21 August 2008 Accepted 4 May 2009 Available online 15 May 2009
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ژورنال
عنوان ژورنال: The Astrophysical Journal
سال: 1999
ISSN: 0004-637X,1538-4357
DOI: 10.1086/307401