Conditioned Higher Moment Portfolio Optimisation Using Optimal Control

Boissaux, Marc; SCHILTZ, Jang

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Boissaux, Marc; SCHILTZ, Jang

2013 • In TERRAZA, Virginie; Razaafitombo, H. (Eds.) Understanding Investment Funds: Insights from Performance and Risk Analysis

Peer reviewed

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Disciplines :

Finance

Author, co-author :

Boissaux, Marc; University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Luxembourg School of Finance (LSF)

SCHILTZ, Jang ; University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Luxembourg School of Finance (LSF)

Language :

English

Title :

Conditioned Higher Moment Portfolio Optimisation Using Optimal Control

Publication date :

2013

Main work title :

Understanding Investment Funds: Insights from Performance and Risk Analysis

Editor :

TERRAZA, Virginie

Razaafitombo, H.

Publisher :

MacMillan

ISBN/EAN :

978-1-13727-360-4

Pages :

106-128

Peer reviewed :

Peer reviewed

Available on ORBilu :

since 30 September 2013

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