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- W161709031 abstract "Ways of finding a maximum skewness portfolio, with given return, variance and kurtosis, are presented. The methods take advantage of the special shape of the efficient portfolios manifold. Simpler solutions are obtained if the higher moments tensor has some particular structures. The problem of finding the optimal portoflio in a dynamic setting is also discussed. Areas where this portfolio is meaningful are outlined and an empirical application is fully developed." @default.
- W161709031 created "2016-06-24" @default.
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- W161709031 date "2001-04-01" @default.
- W161709031 modified "2023-09-27" @default.
- W161709031 title "Finding a maximum skewness portfolio" @default.
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