Pages that link to "Item:Q665798"
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The following pages link to Optimal portfolio allocation with higher moments (Q665798):
Displaying 24 items.
- Consumption-investment problem with transaction costs for Lévy-driven price processes (Q309169) (← links)
- A discontinuous mispricing model under asymmetric information (Q319248) (← links)
- Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets (Q322955) (← links)
- First steps towards an equilibrium theory for Lévy financial markets (Q470675) (← links)
- Optimal investment, consumption-leisure, insurance and retirement choice (Q470684) (← links)
- Gaussian and logistic adaptations of smoothed safety first (Q470737) (← links)
- Portfolio symmetry and momentum (Q635190) (← links)
- Optimal portfolio choice in the presence of domestic systemic risk: Empirical evidence from stock markets (Q651334) (← links)
- Higher-order comoments and asset returns: evidence from emerging equity markets (Q829162) (← links)
- Portfolio choice with jumps: a closed-form solution (Q1024892) (← links)
- Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps (Q1627817) (← links)
- \(K\)-fold cross validation performance comparisons of six naive portfolio selection rules: how naive can you be and still have successful out-of-sample portfolio performance? (Q1680705) (← links)
- Estimation of Lévy-driven Ornstein-Uhlenbeck processes: application to modeling of \(\mathrm{CO}_2\) and fuel-switching (Q1699079) (← links)
- Robust consumption and portfolio policies when asset prices can jump (Q1757535) (← links)
- Central moments, stochastic dominance, moment rule, and diversification with an application (Q2112856) (← links)
- Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy (Q2334406) (← links)
- Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market (Q2665873) (← links)
- Portfolio selection with higher moments (Q3568905) (← links)
- The effectiveness of incorporating higher moments in portfolio strategies: evidence from the Chinese commodity futures markets (Q4991049) (← links)
- Realized higher-order comoments (Q4991084) (← links)
- Estimating the higher-order co-moment with non-Gaussian components and its application in portfolio selection (Q5089923) (← links)
- m-Double Poisson Lévy markets (Q5139259) (← links)
- Higher order moments of the estimated tangency portfolio weights (Q5861531) (← links)
- Efficient portfolios and extreme risks: a Pareto-Dirichlet approach (Q6546994) (← links)