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- W2252428157 abstract "This article proposes a non-parametric portfolio selection criterion for the static asset allocation problem in a robust higher-moment framework. Adopting the Shortage Function approach, we generalize the multi-objective optimization technique in a four-dimensional space using L-moments, and focus on various illustrations of a fourdimensional set of the first four L-moment primal efficient portfolios. Our empirical findings, using a large European stock database, mainly rediscover the earlier works by Jean (1973) and Ingersoll (1975), regarding the shape of the extended higher-order moment efficient frontier, and confirm the seminal prediction by Levy and Markowitz (1979) about the accuracy of the mean-variance criterion." @default.
- W2252428157 created "2016-06-24" @default.
- W2252428157 creator A5016993743 @default.
- W2252428157 creator A5040919437 @default.
- W2252428157 date "2009-01-01" @default.
- W2252428157 modified "2023-10-16" @default.
- W2252428157 title "Robust Higher-order Moments and Efficient Portfolio Selection" @default.
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