Improved Estimates of Higher-Order Comoments and Implications for Portfolio Selection

By Lionel Martellini, Volker Ziemann. 2010

187 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/17a0c216647b6673f2bd235d37a36dfa5388319a

Citations in the corpus

• Moment Component Analysis: An Illustration With International Stock Markets (2018, unknown): “This property was also used recently by Martellini and Ziemann (2010). age of 0.43.”
• Asset Allocation with Conditional Value-at-Risk Budgets (2013, unknown): “(6) Compute the equicorrelation estimator of t and t on the sample of Winsorized devolatilized returns, as proposed by Martellini and Ziemann (2010).”