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Portfolio selection with parsimonious higher comoments estimation · Study

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ArticlePortfolio selection with parsimonious higher comoments estimation

Nathan Lassance2021

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Articlegreen2021

Portfolio selection with parsimonious higher comoments estimation

Nathan Lassance · Frederic Daniel Vrins

29 citations·0/0 files stored·Journal of Banking & Finance

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1952PORTFOLIO SELECTION*2012The Econometrics of Financial Markets 1997The Econometrics of Financial Markets 2002Determining the Number of Factors in Approximate Factor Models 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?2000Conditional Skewness in Asset Pricing Tests 1980On estimating the expected return on the market 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps

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Details

Year2021

Typearticle

Published2021-03-14

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations29

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.jbankfin.2021.106115

openalex_workW3137931172

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