Portfolio management with higher moments: the cardinality impact
نویسندگان
چکیده
منابع مشابه
Portfolio Selection with Higher Moments
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We propose a method for optimal portfolio selection using a Bayesian decision theoretic framework that addresses two major shortcomings of the Markowitz approach: the ability to handle higher moments and estimation error. We employ the skew normal distribution which has many attractive features for modeling multivariate returns. Our results suggest that it is important to incorporate higher ord...
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ژورنال
عنوان ژورنال: International Transactions in Operational Research
سال: 2017
ISSN: 0969-6016,1475-3995
DOI: 10.1111/itor.12404