Justifying mean-variance portfolio selection when asset returns are skewed
Frank Schuhmacher, Hendrik Kohrs, Benjamin R. Auer
| Year of publication: |
2021
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|---|---|
| Authors: | Schuhmacher, Frank ; Kohrs, Hendrik ; Auer, Benjamin R. |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 67.2021, 12, p. 7812-7824
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| Subject: | portfolio constraints | location-scale condition | skew-elliptical distributions | Portfolio-Management | Portfolio selection | Theorie | Theory | Kapitaleinkommen | Capital income | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2020.3846 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012815763