Portfolio selection with higher moments
By Campbell R. Harvey, John C. Liechty, Merrill W. Liechty, Peter Mueller. 2010
485 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/7d4d16f8edb1dd13340b11efba0af07e2a62f8d2
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Nicola Maria Rinaldo Loperfido
- C. Adcock
- Kristiaan Kerstens
- Walter Briec
- John D. Burger
- Veronica Cacdac Warnock
- Martin Eling
- Sakthi Mahenthiran
In Finance
- John D. Burger
- Nicola Maria Rinaldo Loperfido
- C. Adcock
- Veronica Cacdac Warnock
- F. Warnock
- Walter Briec
- Martin Eling
- Kristiaan Kerstens
Citations in the corpus
- Skewed distributions in finance and actuarial science: a review (2015, methodology): “Harvey et al. (2010) carry out a comprehensive study, using the MSN distribution.”
- Emerging Local Currency Bond Markets (2012, background): “See Harvey et al. (2010) and de Athayde and Flôres (2004), who noted that feasible solutions can be calculated in most cases. 15. For portfolio allocation models with barriers to international investment, see Black (1974), Stulz (1981), and Cooper and Kaplanis (1986).”
- Corporate governance, transparency and performance of Malaysian companies (2008, background): “To overcome the agency costs of high ownership concentration levels, managers and insiders can show their willingness to be monitored by creditors such as banks by increasing their public borrowing (Harvey et al., 2003; Diamond, 1991).”
- Sequential Learning, Predictability, and Optimal Portfolio Returns: Sequential Learning, Predictability, and Optimal Portfolio Returns (2014, unknown): “Our power utility specification takes into account the conditional non-normalities, which can be important (see also Brandt et al., 2005, Harvey and Siddique, 2000, and Harvey et al., 2010).”
- The econometrics of mean-variance efficiency tests: a survey (2009, unknown): “Further empirical evidence has been provided by Harvey et al. (2002). From the theoretical point of view,”
- Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy? (2009, unknown): “i and n, then the asymptotic distribution of f (v) (Greene, 2002) is √ T ( f (v̂) − f (v)) → N (0, ∂ f ∂v ∂ f”
- Portfolio selection in multidimensional general and partial moment space (2010, background): “Recent work linking the sign of EU derivatives to behavior towards risk firmly establishes a general preference for odd moments and an aversion to even moments.”