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Portfolio selection in multidimensional general and partial moment space · Study

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ArticlePortfolio selection in multidimensional general and partial moment space

Walter Briec2009

Article2009

Portfolio selection in multidimensional general and partial moment space

Walter Briec · Kristiaan Kerstens

56 citations·0/0 files stored·Journal of Economic Dynamics and Control

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Risk and Portfolio Optimization Stochastic processes and financial applications Economic theories and models

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References

1979Prospect Theory: An Analysis of Decision under Risk 1988Prospect theory: An analysis of decision under risk 1952Portfolio Selection 2000Conditional Skewness in Asset Pricing Tests 1989A Test of the Efficiency of a Given Portfolio 1990Precautionary Saving in the Small and in the Large 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1989Precautionary Saving in the Small and in the Large

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2015The performance of US equity mutual funds 2010Portfolio performance gauging in discrete time using a Luenberger productivity indicator 2022Spillovers beyond the variance: Exploring the higher order risk linkages between commodity markets and global financial markets

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Details

Year2009

Typearticle

Published2009-11-12

VenueJournal of Economic Dynamics and Control

ISSN-L0165-1889

Languageen

Citations56

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.jedc.2009.11.001

openalex_workW2099323358

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