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Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments
4 references·1 citing·22 second hop
Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments (2013)Controlling portfolio skewness and kurtos…Handbook of portfolio construction : contemporary applications of Markowitz techniques (2010)Handbook of portfolio constru…L-performance with an application to hedge funds (2009)L-performance with an applica…Putting Risk in Its Proper Place (2006)Putting Risk in Its Proper Pl…Downside risk (1991)Downside riskHigher-order moments in portfolio selection problems: A comprehensive literature review (2023)Higher-order moments in portf…Safety First and the Holding of Assets (1952)Mutual Fund Performance (1966)Earnings management to avoid earnings decreases and losses (1997)Conditionally fitted Sharpe performance with an application to hedge fund rating (2009)Using medians in portfolio optimization (2014)The Utility Analysis of Choices Involving Risk (1948)Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small and in the Large (1976)A Good Sign for Multivariate Risk Taking (2007)Higher Order Risk Attitudes, Demographics, and Financial Decisions (2013)Are Risk Preferences Stable? (2018)The financial analysts journal (1960)The journal of financial economics (1993)Learning to trade via direct reinforcement (2001)Does the choice of performance measure influence the evaluation of hedge funds? (2007)Blind to carbon risk? An analysis of stock market reaction to the Paris Agreement (2020)PORTFOLIO SELECTION* (1952)The Behavior of Stock-Market Prices (1965)Optimization of conditional value-at-risk (2000)Pricing insurance contracts under Cumulative Prospect Theory (2011)Investing with Momentum: The Past, Present, and Future (2012)Portfolio optimization by improved NSGA-II and SPEA 2 based on different risk measures (2019)
this work references cited by second hop

References

  • 1991Downside risk604 cited
  • 2006Putting Risk in Its Proper Place551 cited
  • 2010Handbook of portfolio construction : contemporary applications of Markowitz techniques81 cited
  • 2009L-performance with an application to hedge funds37 cited

Cited by

  • 2023Higher-order moments in portfolio selection problems: A comprehensive literature review41 cited

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