Improved Forecasts of Higher-Order Co-moments and Implications for Portfolio Selection
In the presence of non-normally distributed asset returns, optimal portfolio selection techniques require not only estimates of variance-covariance parameters, but also estimates of higher-order moments and comoments of the return distribution.
Author(s):
Professor of Finance and Scientific Director of the EDHEC Risk and Asset Management Research Centre
PhD, Research Engineer at the EDHEC Risk and Asset Management Research Centre
| Type: | Working paper |
|---|---|
| Date: | le 29/11/2007 |
| Extra information : | Pour plus d'informations, nous vous prions de vous adresser à Joanne Finlay, Direction de la recherche de l'EDHEC [ [email protected]] Les opinions exprimées sont celles de l'auteur et n'engagent pas la responsabilité de l'EDHEC. |
| Research Cluster : | Finance |
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