Higher order comoments of multifactor models and asset allocation
- Author
- Kris Boudt (UGent) , Wanbo Lu and Benedict Peeters
- Organization
- Keywords
- HIGHER MOMENTS, DOWNSIDE RISK, PORTFOLIOS, SKEWNESS, Factor models, Higher order comoments, Portfolio selection
Citation
Please use this url to cite or link to this publication: http://hdl.handle.net/1854/LU-8600222
- MLA
- Boudt, Kris, et al. “Higher Order Comoments of Multifactor Models and Asset Allocation.” FINANCE RESEARCH LETTERS, vol. 13, 2015, pp. 225–33, doi:10.1016/j.frl.2014.12.008.
- APA
- Boudt, K., Lu, W., & Peeters, B. (2015). Higher order comoments of multifactor models and asset allocation. FINANCE RESEARCH LETTERS, 13, 225–233. https://doi.org/10.1016/j.frl.2014.12.008
- Chicago author-date
- Boudt, Kris, Wanbo Lu, and Benedict Peeters. 2015. “Higher Order Comoments of Multifactor Models and Asset Allocation.” FINANCE RESEARCH LETTERS 13: 225–33. https://doi.org/10.1016/j.frl.2014.12.008.
- Chicago author-date (all authors)
- Boudt, Kris, Wanbo Lu, and Benedict Peeters. 2015. “Higher Order Comoments of Multifactor Models and Asset Allocation.” FINANCE RESEARCH LETTERS 13: 225–233. doi:10.1016/j.frl.2014.12.008.
- Vancouver
- 1.Boudt K, Lu W, Peeters B. Higher order comoments of multifactor models and asset allocation. FINANCE RESEARCH LETTERS. 2015;13:225–33.
- IEEE
- [1]K. Boudt, W. Lu, and B. Peeters, “Higher order comoments of multifactor models and asset allocation,” FINANCE RESEARCH LETTERS, vol. 13, pp. 225–233, 2015.
@article{8600222,
author = {{Boudt, Kris and Lu, Wanbo and Peeters, Benedict}},
issn = {{1544-6123}},
journal = {{FINANCE RESEARCH LETTERS}},
keywords = {{HIGHER MOMENTS,DOWNSIDE RISK,PORTFOLIOS,SKEWNESS,Factor models,Higher order comoments,Portfolio selection}},
language = {{eng}},
pages = {{225--233}},
title = {{Higher order comoments of multifactor models and asset allocation}},
url = {{http://doi.org/10.1016/j.frl.2014.12.008}},
volume = {{13}},
year = {{2015}},
}
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