Work

Conditional Asset Allocation Under Non-Normality: How Costly is the Mean-Variance Criterion?

Year: 2005

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.674424

Authors: Eric Jondeau, Georg Michael Rockinger

Institutions: Swiss Finance Institute, University of Lausanne, Centre for Economic Policy Research

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1559582077

Cites: 42

Cited by: 32

Related to: 10