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Efficient Frontier for Robust Higher-order Moment Portfolio Selection

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Figure

Figure 1 illustrates the first (rescaled) L-moment estimations against the traditional sample moments, calculated on a long sample of one century of daily quotes of the Dow Jones Index
Figure 1. Comparison of Classical Moments versus L-moments. Source: Bloomberg, Daily Net Asset Values  (01/01/1896-01/18/2008) in USD; computations by the authors
Figure 2. First Four L-moment Constrained Efficient Frontier in the L 1 -L 2  Plane. Source:  Bloomberg, Weekly Net Asset  Values (06/2001-06/2006) in EUR; computations by the authors
Figure 4. First Four L-moment Constrained Efficient Frontier in the L 2 -L 4  Plane. Source: Bloomberg, Weekly Net Asset  Values (06/2001-06/2006) in EUR; computations by the authors
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