Abstract: In the mean-variance-skewness-kurtosis framework, this study solve multiple conflicting and competing portfolio objectives such as maximizing expected return and skewness and minimizing risk ...
Abstract: We presented an exact unbiased inverse of the Anscombe variance-stabilizing transformation in [M. Mäkitalo and A. Foi, “Optimal inversion of the Anscombe transformation in low-count Poisson ...
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