Higher moments portfolio Optimization with unequal weights based on Generalized Capital Asset pricing model with independent and identically asymmetric Power Distribution
The main criterion in investment decisions is to maximize the investors utility. Traditional capital asset pricing models cannot be used when asset returns do not follow a normal distribution. For this reason, we use capital asset pricing model with independent and identically asymmetric power distr...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Islamic Azad University of Arak
2021-04-01
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| Series: | Advances in Mathematical Finance and Applications |
| Subjects: | |
| Online Access: | http://amfa.iau-arak.ac.ir/article_678759_b40c3ce11cf9d1ccdc50469c34e4aeae.pdf |