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Persistent link: https://www.econbiz.de/10012630726
No abstract available.This paper proposes a portfolio selection model for Fund of Funds(FoFs) with the framework of mean-variance-skewness-kurtosis. Our model considers the time-varying relationship between realized higher moments and subsequent FoFs. The cardinality constraint is also included...
Persistent link: https://www.econbiz.de/10013405352