Optimal portfolio positioning within generalized Johnson distributions

N. Naguez; Jean-Luc Prigent

doi:10.1080/14697688.2016.1253859

Journal Articles Quantitative Finance Year : 2017

Optimal portfolio positioning within generalized Johnson distributions

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N. Naguez

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Jean-Luc Prigent

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Théorie économique, modélisation et applications

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Mathematics [math] Humanities and Social Sciences Statistics [stat] Quantitative Finance [q-fin]

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Submitted on : Friday, May 27, 2022-12:05:58 AM

Last modification on : Friday, March 24, 2023-2:53:27 PM

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hal-03679701 , version 1 (27-05-2022)

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HAL Id : hal-03679701 , version 1
DOI : 10.1080/14697688.2016.1253859

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N. Naguez, Jean-Luc Prigent. Optimal portfolio positioning within generalized Johnson distributions. Quantitative Finance, 2017, 17 (7), pp.1037-1055. ⟨10.1080/14697688.2016.1253859⟩. ⟨hal-03679701⟩

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Optimal portfolio positioning within generalized Johnson distributions

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