✦ LIBER ✦

Optimal portfolio allocation with higher moments

✍ Scribed by Jakša Cvitanić; Vassilis Polimenis; Fernando Zapatero

Publisher: Springer
Year: 2007
Tongue: English
Weight: 396 KB
Volume: 4
Category: Article
ISSN: 1614-2446
DOI: 10.1007/s10436-007-0071-5

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Optimal hedging with higher moments

✍ Chris Brooks; Alešs Černý; Joëlle Miffre 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 266 KB

## Abstract This study proposes a utility‐based framework for the determination of optimal hedge ratios (OHRs) that can allow for the impact of higher moments on hedging decisions. We examine the entire hyperbolic absolute risk aversion family of utilities which include quadratic, logarithmic, powe

Global optimization of higher order mome

Global optimization of higher order moments in portfolio selection

✍ Dietmar Maringer; Panos Parpas 📂 Article 📅 2007 🏛 Springer US 🌐 English ⚖ 370 KB

Optimal portfolio allocation under the p

Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation

✍ Jón Daníelsson; Bjørn N. Jorgensen; Casper G. de Vries; Xiaoguang Yang 📂 Article 📅 2007 🏛 Springer 🌐 English ⚖ 331 KB

Portfolio allocation and asset demand wi

Portfolio allocation and asset demand with mean-variance preferences

✍ Thomas Eichner; Andreas Wagener 📂 Article 📅 2010 🏛 Springer US 🌐 English ⚖ 207 KB

On optimal portfolio diversification wit

On optimal portfolio diversification with respect to

✍ Georg Mainik; Ludger Rüschendorf 📂 Article 📅 2010 🏛 Springer-Verlag 🌐 English ⚖ 761 KB

Portfolio Optimization Model with Transa

Portfolio Optimization Model with Transaction Costs

✍ Shu-ping Chen; Chong Li; Sheng-hong Li; Xiong-wei Wu 📂 Article 📅 2002 🏛 Institute of Applied Mathematics, Chinese Academy 🌐 English ⚖ 235 KB