Concepedia

Multivariate Location-Scale Mixtures of Normals and Mean-Variance-Skewness Portfolio Allocation

Javier Juste Mencía, Enrique Sentana

SSRN Electronic Journal · 2009 · 57 citations · 16 references

DOIFull text

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Concepts

References

16

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SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*

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Quadratic ARCH Models

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Portfolio Selection with Higher Moments

Campbell R. Harvey, John Liechty, Merrill W. Liechty et al. · SSRN Electronic Journal · 2004 · 194 citations · Full text

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