Portfolio selection with higher moments
Work
Year: 2010
Type: article
Abstract: We propose a method for optimal portfolio selection using a Bayesian decision theoretic framework that addresses two major shortcomings of the traditional Markowitz approach: the ability to handle hig... more
Source: Quantitative Finance
Institutions National Bureau of Economic Research, Duke University, Pennsylvania State University, Drexel University, The University of Texas MD Anderson Cancer Center
Cites: 110
Cited by: 409
Related to: 10
FWCI: 22.63
Citation percentile (by year/subfield): 99.99
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Peace, justice, and strong institutions
Open Access status: green