FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2169651490> ?p ?o ?g. }

• W2169651490 endingPage "1502" @default.
• W2169651490 startingPage "1467" @default.
• W2169651490 abstract "In the presence of nonnormally distributed asset returns, optimal portfolio selection techniques require estimates for variance-covariance parameters, along with estimates for higher-order moments and comoments of the return distribution. This is a formidable challenge that severely exacerbates the dimensionality problem already present with mean-variance analysis. This article extends the existing literature, which has mostly focused on the covariance matrix, by introducing improved estimators for the coskewness and cokurtosis parameters. We find that the use of these enhanced estimates generates a significant improvement in investors’ welfare. We also find that it is only when improved estimators are used that portfolio selection with higher-order moments dominates mean-variance analysis from an out-of-sample perspective." @default.
• W2169651490 created "2016-06-24" @default.
• W2169651490 creator A5010126556 @default.
• W2169651490 creator A5062778124 @default.
• W2169651490 date "2009-12-03" @default.
• W2169651490 modified "2023-09-30" @default.
• W2169651490 title "Improved Estimates of Higher-Order Comoments and Implications for Portfolio Selection" @default.
• W2169651490 cites W1985030584 @default.
• W2169651490 cites W1988008345 @default.
• W2169651490 cites W1992897607 @default.
• W2169651490 cites W2005432509 @default.
• W2169651490 cites W2033298685 @default.
• W2169651490 cites W2044564202 @default.
• W2169651490 cites W2057622893 @default.
• W2169651490 cites W2090874083 @default.
• W2169651490 cites W2097281882 @default.
• W2169651490 cites W2110521063 @default.
• W2169651490 cites W2124601071 @default.
• W2169651490 cites W2126696639 @default.
• W2169651490 cites W2140917889 @default.
• W2169651490 cites W2155320704 @default.
• W2169651490 cites W2165408259 @default.
• W2169651490 cites W3121324299 @default.
• W2169651490 cites W3121378067 @default.
• W2169651490 cites W3122032662 @default.
• W2169651490 cites W3122301309 @default.
• W2169651490 cites W3122618988 @default.
• W2169651490 cites W3122849058 @default.
• W2169651490 cites W3124158341 @default.
• W2169651490 cites W3125005858 @default.
• W2169651490 cites W4241319819 @default.
• W2169651490 cites W4244543623 @default.
• W2169651490 cites W4247746672 @default.
• W2169651490 cites W4248967692 @default.
• W2169651490 cites W4254389086 @default.
• W2169651490 cites W4300036648 @default.
• W2169651490 doi "https://doi.org/10.1093/rfs/hhp099" @default.
• W2169651490 hasPublicationYear "2009" @default.
• W2169651490 type Work @default.
• W2169651490 sameAs 2169651490 @default.
• W2169651490 citedByCount "147" @default.
• W2169651490 countsByYear W21696514902012 @default.
• W2169651490 countsByYear W21696514902013 @default.
• W2169651490 countsByYear W21696514902014 @default.
• W2169651490 countsByYear W21696514902015 @default.
• W2169651490 countsByYear W21696514902016 @default.
• W2169651490 countsByYear W21696514902017 @default.
• W2169651490 countsByYear W21696514902018 @default.
• W2169651490 countsByYear W21696514902019 @default.
• W2169651490 countsByYear W21696514902020 @default.
• W2169651490 countsByYear W21696514902021 @default.
• W2169651490 countsByYear W21696514902022 @default.
• W2169651490 countsByYear W21696514902023 @default.
• W2169651490 crossrefType "journal-article" @default.
• W2169651490 hasAuthorship W2169651490A5010126556 @default.
• W2169651490 hasAuthorship W2169651490A5062778124 @default.
• W2169651490 hasConcept C10138342 @default.
• W2169651490 hasConcept C104946779 @default.
• W2169651490 hasConcept C105795698 @default.
• W2169651490 hasConcept C106159729 @default.
• W2169651490 hasConcept C111030470 @default.
• W2169651490 hasConcept C121955636 @default.
• W2169651490 hasConcept C149782125 @default.
• W2169651490 hasConcept C154945302 @default.
• W2169651490 hasConcept C162324750 @default.
• W2169651490 hasConcept C178650346 @default.
• W2169651490 hasConcept C181243257 @default.
• W2169651490 hasConcept C182306322 @default.
• W2169651490 hasConcept C185142706 @default.
• W2169651490 hasConcept C185429906 @default.
• W2169651490 hasConcept C196083921 @default.
• W2169651490 hasConcept C2780821815 @default.
• W2169651490 hasConcept C33923547 @default.
• W2169651490 hasConcept C38652104 @default.
• W2169651490 hasConcept C41008148 @default.
• W2169651490 hasConcept C76178495 @default.
• W2169651490 hasConcept C81917197 @default.
• W2169651490 hasConcept C9725762 @default.
• W2169651490 hasConceptScore W2169651490C10138342 @default.
• W2169651490 hasConceptScore W2169651490C104946779 @default.
• W2169651490 hasConceptScore W2169651490C105795698 @default.
• W2169651490 hasConceptScore W2169651490C106159729 @default.
• W2169651490 hasConceptScore W2169651490C111030470 @default.
• W2169651490 hasConceptScore W2169651490C121955636 @default.
• W2169651490 hasConceptScore W2169651490C149782125 @default.
• W2169651490 hasConceptScore W2169651490C154945302 @default.
• W2169651490 hasConceptScore W2169651490C162324750 @default.
• W2169651490 hasConceptScore W2169651490C178650346 @default.
• W2169651490 hasConceptScore W2169651490C181243257 @default.
• W2169651490 hasConceptScore W2169651490C182306322 @default.
• W2169651490 hasConceptScore W2169651490C185142706 @default.
• W2169651490 hasConceptScore W2169651490C185429906 @default.
• W2169651490 hasConceptScore W2169651490C196083921 @default.
• W2169651490 hasConceptScore W2169651490C2780821815 @default.
• W2169651490 hasConceptScore W2169651490C33923547 @default.
• W2169651490 hasConceptScore W2169651490C38652104 @default.
• W2169651490 hasConceptScore W2169651490C41008148 @default.
• W2169651490 hasConceptScore W2169651490C76178495 @default.

• next