Modified variance incorporating high-order moments in risk measure with Gram-Charlier returns
Year of publication: |
2022
|
---|---|
Authors: | León-Camacho, Bernardo ; Mora-Valencia, Andrés ; Perote, Javier |
Published in: |
The engineering economist : a journal devoted to the problems of capital investment. - Philadelphia, Pa. : Taylor & Francis, ISSN 1547-2701, ZDB-ID 2066279-8. - Vol. 67.2022, 3, p. 218-233
|
Subject: | Risiko | Risk | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Messung | Measurement | Kapitaleinkommen | Capital income | Schätztheorie | Estimation theory | CAPM |
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