A general approach to smooth and convex portfolio optimization using lower partial moments
Haixiang Yao, Jinbo Huang, Yong Li, Jacquelyn E. Humphrey
| Year of publication: |
2021
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|---|---|
| Authors: | Yao, Haixiang ; Huang, Jinbo ; Li, Yong ; Humphrey, Jacquelyn E. |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 129.2021, p. 1-16
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| Subject: | Portfolio optimization | Nonparametric kernel estimation | Lower partial moments | Transaction costs | Portfolio-Management | Portfolio selection | Transaktionskosten | Schätztheorie | Estimation theory | Momentenmethode | Method of moments | Nichtparametrisches Verfahren | Nonparametric statistics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2021.106167 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012822108