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Keywords: Higher moments
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Journal Articles
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2024) 41 (5): 981–997.
Published: 21 November 2023
...Patrice Gaillardetz; Saeb Hachem Purpose By using higher moments, this paper extends the quadratic local risk-minimizing approach in a general discrete incomplete financial market. The local optimization subproblems are convex or nonconvex, depending on the moment variants used in the modeling...
