Portfolio optimization with serially correlated, skewed and fat tailed index returns

DOI10.1007/S10100-011-0219-2zbMath1339.91133OpenAlexW2045005934MaRDI QIDQ300967

Markus Glawischnig, Immanuel Seidl

Publication date: 29 June 2016

Published in: CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10100-011-0219-2

zbMATH Keywords

expansionfour moment efficient portfoliosserially correlated returnsunsmoothing algorithmutility approximation with Taylor series

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

Related Items (2)

Stock portfolio selection under unstable uncertainty via fuzzy mean-semivariance model ⋮ Empirical distribution of daily stock returns of selected developing and emerging markets with application to financial risk management

Cites Work

• Portfolio Selection and Asset Pricing—Three-Parameter Framework
• The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments

This page was built for publication: Portfolio optimization with serially correlated, skewed and fat tailed index returns