Optimal portfolio allocation with higher moments

Annals of Finance

Volumn 4, Issue 1, 2008, Pages 1-28

  Cvitanié, Jakša ^a   Polimenis, Vassilis ^b   Zapatero, Fernando ^c  

^a CALIFORNIA INSTITUTE OF TECHNOLOGY   (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

^c UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

Author keywords

Higher moments; Optimal allocation; Pure jump processes

Indexed keywords

EID: 36348970693     PISSN: 16142446     EISSN: 16142454     Source Type: Journal    
DOI: 10.1007/s10436-007-0071-5     Document Type: Article

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