Location-scale portfolio selection with factor-recentered skew normal asset returns
Year of publication: |
2014
|
---|---|
Authors: | Gan, Quan |
Published in: |
Journal of Economic Dynamics and Control. - Elsevier, ISSN 0165-1889. - Vol. 48.2014, C, p. 176-187
|
Publisher: |
Elsevier |
Subject: | Portfolio selection | Skew normal | Certainty equivalent | Non-monotonicity | Factor model |
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