Paul M. Merlin

CES/CNRS - University of Paris-1 (Panthéon-Sorbonne)

Paris, IL

A.A.Advisors

Risk Manager

3 av Hoche

Paris, 75008

France

SCHOLARLY PAPERS

3

DOWNLOADS

644

CITATIONS

2

Scholarly Papers (3)

1.

Robust Higher-order Moments and Efficient Portfolio Selection

Number of pages: 79 Posted: 19 Aug 2009
Bertrand B. Maillet and Paul M. Merlin
EMLyon Business School (Paris Campus) and CES/CNRS - University of Paris-1 (Panthéon-Sorbonne)
Downloads 327 (91,112)
Citation 3

Abstract:

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Efficient Frontier, Portfolio Selection, Robust Higher L-moments, Shortage Function, Goal Attainment Application

2.

Outliers Detection, Correction of Financial Time-Series Anomalies and Distributional Timing for Robust Efficient Higher-Order Moment Asset Allocations

Number of pages: 64 Posted: 03 Jun 2009 Last Revised: 21 Sep 2009
Bertrand B. Maillet and Paul M. Merlin
EMLyon Business School (Paris Campus) and CES/CNRS - University of Paris-1 (Panthéon-Sorbonne)
Downloads 317 (94,251)

Abstract:

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Outliers, ANN-GARCH, Higher-order Moment, Asset Allocation

3.

Efficient Frontier for Robust Higher-Order Moment Portfolio Selection

Posted: 25 Oct 2008 Last Revised: 03 Mar 2019
Glion Institute of Higher Education, EMLyon Business School (Paris Campus) and CES/CNRS - University of Paris-1 (Panthéon-Sorbonne)

Abstract:

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Efficient Frontier, Portfolio Selection, Robust Higher L-moments, Shortage Function, Goal Attainment Application