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Quantitative Finance Volume 13, 2013 - Issue 10: Themed Issue on Fund Management
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Research Papers

Extension of the random matrix theory to the L-moments for robust portfolio selection

Ghislain Yanou University of Paris-1 (Finance/CES/CNRS), 106 bd de l’hôpital, F-75647 Paris Cedex 13 – Office 513, FranceCorrespondence[email protected]
Pages 1653-1673 | Received 03 Feb 2009, Accepted 25 Oct 2012, Published online: 18 Mar 2013

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Stefano Benati. (2015) Using medians in portfolio optimization. Journal of the Operational Research Society 66:5, pages 720-731.
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Articles from other publishers (6)

Olivier Le Courtois & Xia Xu. (2023) Efficient portfolios and extreme risks: a Pareto–Dirichlet approach. Annals of Operations Research.
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Luigi Grossi & Fabrizio Laurini. (2019) Robust asset allocation with conditional value at risk using the forward search. Applied Stochastic Models in Business and Industry 36:3, pages 335-352.
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Olivier Brandouy, Kristiaan Kerstens & Ignace Van de Woestyne. (2015) Frontier-based vs. traditional mutual fund ratings: A first backtesting analysis. European Journal of Operational Research 242:1, pages 332-342.
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Woo Chang Kim, Frank J. Fabozzi, Patrick Cheridito & Charles Fox. (2014) Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments. Economics Letters 122:2, pages 154-158.
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Olivier Arnaud Le Courtois & Xia Xu. (2019) Portfolio Optimization in the Presence of Extreme Risks: A Pareto-Dirichlet Approach. SSRN Electronic Journal.
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Hasan A Fallahgoul, Loriano Mancini & Stoyan Veselinov Stoyanov. (2018) Model Risk and Disappointment Aversion. SSRN Electronic Journal.
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