Skewness persistence with optimal portfolio selection

Journal of Banking and Finance

Volumn 27, Issue 6, 2003, Pages 1111-1121

  Sun, Qian ^a   Yan, Yuxing ^a  

^a NANYANG TECHNOLOGICAL UNIVERSITY   (Singapore)

Author keywords

Bootstrap method; Mean variance skewness efficient portfolios; Polynomial goal programming; Re balance; Skewness persistence

Indexed keywords

EID: 0037729259     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(02)00247-9     Document Type: Article

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