Hedge Fund Portfolio Selection with Higher-order Moments: A Nonparametric Mean-Variance-Skewness-Kurtosis Efficient Frontier

Multi-moment Asset Allocation and Pricing Models

Volumn , Issue , 2015, Pages 51-66

  Jurczenko, Emmanuel ^a,b,c   Maillet, Bertrand ^a,c   Merlin, Paul ^a,c  

^a AAAdvisors QCG ^*  (France)

^b ESCP EUROPE   (France)

^c UNIVERSITÉ PARIS 1 PANTHÉON SORBONNE   (France)

Author keywords

Hedge fund portfolio selection; Higher order moments; Kurtosis; Moment space; Nonparametric methodology; Skewness

Indexed keywords

EID: 70349289592     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1002/9781119201830.ch3     Document Type: Chapter

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