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.
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 |
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Date: | le 29/11/2007 |
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Research Cluster : | Finance |