Portfolio selection with higher moments

Quantitative Finance

Volumn 10, Issue 5, 2010, Pages 469-485

  Harvey, Campbell R ^a,b   Liechty, John C ^c   Liechty, Merrill W ^d   Peter, Müller ^e  

^a DUKE UNIVERSITY   (United States)

^b NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

^c PENNSYLVANIA STATE UNIVERSITY   (United States)

^d DREXEL UNIVERSITY   (United States)

^e UNIVERSITY OF TEXAS MD ANDERSON CANCER CENTER   (United States)

Author keywords

Bayesian decision problem; Multivariate skewness; Optimal portfolios; Parameter uncertainty; Utility function maximization

Indexed keywords

EID: 77951925762     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697681003756877     Document Type: Article

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