Portfolio selection in multidimensional general and partial moment space
type: Item
instance of: scholarly article
title: Portfolio selection in multidimensional general and partial moment space
zbMATH Open document ID: 1202.91293
author: Walter Briec
author: Kristiaan Kerstens
publication date: 2010-04-22T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B16
zbMATH DE Number: 5697088
zbMATH Keywords: shortage function
zbMATH Keywords: efficient frontier
zbMATH Keywords: \(K\)-moment portfolios
MaRDI profile type: Publication
full work available at URL: j.jedc.2009.11.001
OpenAlex ID: W2099323358
cites work: Infeasibility and directional distance functions with application to the determinateness of the Luenberger productivity indicator
cites work: Single-period Markowitz portfolio selection, performance gauging, and duality: a variation on the Luenberger shortage function
cites work: Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach
cites work: A Class of Utility Functions Containing all the Common Utility Functions
cites work: Risk, Return, Skewness and Preference
cites work: Mixed risk aversion
cites work: Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory
cites work: Comparative mixed risk aversion: Definition and application to self-protection and willingness to pay
cites work: Finding a maximum skewness portfolio -- a general solution to three-moments portfolio choice
cites work: On goodness-of-fit tests for weakly dependent processes using kernel method
cites work: Nonparametric tests of regularity, Farrell efficiency, and goodness-of-fit
cites work: A Test of the Efficiency of a Given Portfolio
cites work: Third Degree Stochastic Dominance and Mean-Risk Analysis
cites work: A Theory of Disappointment Aversion
cites work: Q3539512
cites work: Conditional volatility, skewness, and kurtosis: Existence, persistence, and comovements
cites work: Prospect Theory: An Analysis of Decision under Risk
cites work: A mean-absolute deviation-skewness portfolio optimization model
cites work: Stochastic Dominance
cites work: Nonparametric testing of closeness between two unknown distribution functions
cites work: TSD-consistent performance assessment of mutual funds
cites work: An approach to nonlinear programming
cites work: Benefit functions and duality
cites work: Q4902563
cites work: Global optimization of higher order moments in portfolio selection
cites work: Increasing outer risk
cites work: On consistency of stochastic dominance and mean-semideviation models
cites work: The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments
cites work: Introduction to Modern Portfolio optimization with NUOPT and S-PLUS
cites work: A general methodology for bootstrapping in non-parametric frontier models
cites work: Dynamic models for fixed-income portfolio management under uncertainty
DOI: 10.1016/J.JEDC.2009.11.001
published in: Journal of Economic Dynamics and Control
Recommended article: A generalized pivotal quantity approach to portfolio selection
Recommended article: Portfolio selection with higher moments
Recommended article: Global optimization of higher order moments in portfolio selection
Recommended article: Markowitz principles for multi-period portfolio selection problems with moments of any order
Recommended article: Q3010747
Recommended article: Portfolio selection using multistage stochastic programming
Recommended article: Q4887226
Recommended article: The general mean-variance portfolio selection problem
Recommended article: Portfolio selection in a multi-moment setting: a simple Monte-Carlo-FDH algorithm
description: scientific article; zbMATH DE number 5697088