Portfolio selection with parsimonious higher comoments estimation

Journal of Banking & Finance - Tập 126 - Trang 106115 - 2021
Nathan Lassance1, Frédéric Vrins2
1UCLouvain,Louvain Institute of Data Analysis and Modeling, Louvain Finance, Chaussée de Binche 151, Mons 7000, Belgium
2UCLouvain, Louvain Institute of Data Analysis and Modeling, Louvain Finance, Voie du Roman Pays 34, Louvain-la-Neuve 1348, Belgium

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