Portfolio allocation using multivariate variance gamma models
In this paper, we investigate empirically the effect of using higher moments in portfolio
allocation when parametric and nonparametric models are used. The nonparametric model …
allocation when parametric and nonparametric models are used. The nonparametric model …
Portfolio allocation using multivariate variance gamma models
A Hitaj, L Mercuri - Financial Markets and Portfolio …, 2013 - econpapers.repec.org
In this paper, we investigate empirically the effect of using higher moments in portfolio
allocation when parametric and nonparametric models are used. The nonparametric model …
allocation when parametric and nonparametric models are used. The nonparametric model …
Portfolio Allocation Using Multivariate Variance Gamma
A Hitaj, L Mercuri - Available at SSRN 1974984, 2011 - papers.ssrn.com
In this paper we investigate empirically the effect of using higher moments in portfolio
allocation when parametric and non parametric models are used. The non parametric model …
allocation when parametric and non parametric models are used. The non parametric model …
Portfolio allocation using multivariate variance gamma models
A Hitaj, L Mercuri - Financial Markets and Portfolio …, 2013 - search.proquest.com
In this paper, we investigate empirically the effect of using higher moments in portfolio
allocation when parametric and nonparametric models are used. The nonparametric model …
allocation when parametric and nonparametric models are used. The nonparametric model …
[PDF][PDF] Portfolio Allocation using Multivariate Variance Gamma
A Hitaj, L Mercuri - 2011 - academia.edu
In this paper we investigate empirically the effect of using higher moments in portfolio
allocation when parametric and non parametric models are used. The non parametric model …
allocation when parametric and non parametric models are used. The non parametric model …
Portfolio allocation using multivariate variance gamma models
A Hitaj, L Mercuri - FINANCIAL MARKETS AND …, 2013 - irinsubria.uninsubria.it
In this paper, we investigate empirically the effect of using higher moments in portfolio
allocation when parametric and nonparametric models are used. The nonparametric model …
allocation when parametric and nonparametric models are used. The nonparametric model …
Portfolio allocation using multivariate variance gamma models
A Hitaj, L Mercuri - Financial Markets and Portfolio Management, 2013 - ideas.repec.org
In this paper, we investigate empirically the effect of using higher moments in portfolio
allocation when parametric and nonparametric models are used. The nonparametric model …
allocation when parametric and nonparametric models are used. The nonparametric model …
[PDF][PDF] Portfolio Allocation using Multivariate Variance Gamma
A Hitaj, L Mercuri - 2011 - boa.unimib.it
In this paper we investigate empirically the effect of using higher moments in portfolio
allocation when parametric and non parametric models are used. The non parametric model …
allocation when parametric and non parametric models are used. The non parametric model …
[PDF][PDF] Portfolio Allocation using Multivariate Variance Gamma
A Hitaj, L Mercuri - 2011 - scholar.archive.org
In this paper we investigate empirically the effect of using higher moments in portfolio
allocation when parametric and non parametric models are used. The non parametric model …
allocation when parametric and non parametric models are used. The non parametric model …
Portfolio Allocation using Multivariate Variance Gamma
A Hitaj, L Mercuri - Quaderni del Dipartimento di Metodi Quantitativi …, 2011 - boa.unimib.it
In this paper we investigate empirically the effect of using higher moments in portfolio
allocation when parametric and non parametric models are used. The non parametric model …
allocation when parametric and non parametric models are used. The non parametric model …