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Hedge Funds Portfolio Selection with Higher-order Moments: A Non-parametric Mean-Variance-Skewness-Kurtosis Efficient Frontier

Bertrand Maillet, Emmanuel Jurczenko and Paul Merlin
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Emmanuel Jurczenko: ESCP-EAP - ESCP-EAP - Ecole Supérieure de Commerce de Paris
Paul Merlin: CES - Centre d'économie de la Sorbonne - CNRS - Centre National de la Recherche Scientifique - UP1 - Université Panthéon-Sorbonne

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

Date: 2006
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00308993
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Published in Multi-moment Asset Allocation and Pricing Models, Wiley, pp.51-66, 2006

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