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Higher-Moment Portfolio Theory
10 references·2 citing·37 second hop
Higher-Moment Portfolio Theory (2005)Higher-Moment Portfolio TheoryTheory of games and economic behavior (2019)Theory of games and economic …Empirical distributions of stock returns: between the stretched exponential and the power law? (2005)Empirical distributions of st…Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…Inverse cubic law for the distribution of stock price variations (1998)Inverse cubic law for the dis…The stable Paretian hypothesis and the frequency of large returns: an examination of major German stocks (1996)The stable Paretian hypothesi…The econometrics of financial markets (1996)The econometrics of financial…Continuous-Time Finance. (1991)Continuous-Time Finance.The Fundamental Theorem of Parameter-Preference Security Valuation (1973)The Fundamental Theorem of Pa…Portfolio Selection: Efficient Diversification of Investments. (1962)Portfolio Selection: Efficien…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Hedge fund return higher moments over the business cycle (2018)Hedge fund return higher mome…Cumulant instrument estimators for hedge fund return models with errors in variables (2014)Cumulant instrument estimator…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Statistical analysis of cointegration vectors (1988)Scaling of the distribution of fluctuations of financial market indices (1999)Statistical properties of the volatility of price fluctuations (1999)VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS (2000)Essays in the Theory of Risk-Bearing. (1972)Portfolio Theory and Capital Markets. (1972)An aggregation theorem for securities markets (1974)Portfolio selection and skewness: Evidence from international stock markets (1997)Optimal Portfolio Allocation under Higher Moments (2006)The Variation of Certain Speculative Prices (1963)Herd Behaviour, Bubbles and Crashes (1995)The variation of certain speculative prices (1997)Statistical properties of stock order books: empirical results and models (2002)Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (2004)Fractional Brownian Motions, Fractional Noises and Applications (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Heterogeneous Agent Models in Economics and Finance (2005)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Copula Modeling: An Introduction for Practitioners (2007)The Behavior of Stock-Market Prices (1965)Self-organizing Ising model of financial markets (2006)Emergent Macroeconomics: An Agent-Based Approach to Business Fluctuations (2008)Dragon-Kings, Black Swans and the Prediction of Crises (2009)Scaling of the distribution of price fluctuations of individual companies (1999)Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model (2005)Multifractal analysis of financial markets: a review (2019)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Multifactor Explanations of Asset Pricing Anomalies (1996)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Backward Stochastic Differential Equations in Finance (1997)An Engine, Not a Camera (2006)Toward a positive theory of consumer choice (1980)Prospect theory: An analysis of decision under risk (1988)Non-cooperative games (1989)
this work references cited by second hop

References

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  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1962Portfolio Selection: Efficient Diversification of Investments.3,621 cited
  • 2001Empirical properties of asset returns: stylized facts and statistical issues3,508 cited
  • 1991Continuous-Time Finance.1,788 cited
  • 1996The econometrics of financial markets886 cited
  • 1998Inverse cubic law for the distribution of stock price variations590 cited
  • 1973The Fundamental Theorem of Parameter-Preference Security Valuation447 cited
  • 1996The stable Paretian hypothesis and the frequency of large returns: an examination of major German stocks400 cited
  • 2005Empirical distributions of stock returns: between the stretched exponential and the power law?191 cited

Cited by

  • 2018Hedge fund return higher moments over the business cycle26 cited
  • 2014Cumulant instrument estimators for hedge fund return models with errors in variables25 cited

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