Data di Pubblicazione:
2013
Abstract:
The well-known mean-variance model, see Markowitz (1952), despite its popularity and simplicity, is not able to capture the stylized facts of asset returns such as asymmetry and fat tails, which have an impact on portfolio selection, particularly when hedge funds are included.
Tipologia CRIS:
Articolo in Volume
Elenco autori:
Hitaj, A.; Mercuri, L.
Link alla scheda completa:
Titolo del libro:
Advances in Financial Risk Management: Corporates, Intermediaries and Portfolios