Algorithmic portfolio tilting to harvest higher moment gains

Kris Boudt, Dries Cornilly, Frederiek Van Holle, Joeri Willems

Research output: Contribution to journalArticlepeer-review

17 Citations (Scopus)

Abstract

Mean-variance-skewness-kurtosis; Non-normality; Portfolio allocation; Tilting; Statistics; Finance; Banking; Econometrics; Operations management; Business; Economics; Information science; Industry

Original languageEnglish
Article numbere03516
Number of pages8
JournalHeliyon
Volume6
Issue number3
DOIs
Publication statusPublished - Mar 2020

Bibliographical note

© 2020 The Authors.

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