280 Optimizing Optimization
Gul , F. ( 1991 ). A theory of disappointment aversion. Econometrica , 59 , 667 – 686.
Hahn , G. J. , & Shapiro , S. S. ( 1967 ). Statistical models in engineering. New York : John
Wiley & Sons.
Harvey, C. R., Liechty, J. C., Liechty, M. W., & M ü ller, P. (2004). Portfolio selection
with higher moments. Working Paper, Duke University.
Heinrich, J. (2004). A guide to the Pearson Type IV distribution. Working Paper,
University of Pennsylvania.
Hill , I. D. , Hill , R. , & Holder , R. L. ( 1976 ). Fitting Johnson curves by moments.
Applied Statistics , 25 ( 2 ) , 180 – 189.
Hogarth , R. M. , & Einhorn , H. J. ( 1992 ). Order effects in belief updating: The belief-
adjustment model. Cognitive Psychology , 24 , 1 – 55.
Jobst , A. ( 2005 ). European securitization: A GARCH model of CDO, MBS and
Pfandbrief spreads. Journal of Structured Finance , 12 ( 1 ) , 55 – 80.
Joe, H. (1997). Multivariate models and dependence concepts number 73. In
Monographs in statistics and probability. London : Chapman and Hall.
Johnson , N. L. ( 1949 ). Systems of frequency curves generated by methods of transla-
tion. Biometrika , 36 , 149 – 176.
Jondeau , E. , & Rockinger , M. ( 2003 ). Conditional volatility, skewness and kurtosis:
Existence, persistence, and comovements. Journal of Economic Dynamics and
Control , 27 ( 10 ) , 1699 – 1737.
Jondeau , E. , & Rockinger , M. ( 2006 ). Optimal portfolio allocation under higher
moments. European Financial Management , 12 , 1.
Kahneman , D. ( 1995 ). Varieties of counterfactual thinking. In N. J. Roese & J. M. Olson
(Eds.) , What might have been: The social psychology of counterfactual thinking
(pp. 375 – 396 ). New Jersey : Hillsdale.
Kahneman , D. , & Tversky , A. ( 1979 ). Prospect theory: An analysis of decision under
risk. Econometrica , 47 , 263 – 291.
Kelly, K. S., & Krzysztofowicz, R. (1995). Bayesian revision of an arbitrary prior
density. In Proceedings of the section on Bayesian statistical science (pp. 50 – 53).
American Statistical Association.
Kelly , K. S. , & Krzysztofowicz , R. ( 1997 ). A bivariate meta-Gaussian density for use in
hydrology. Stochastic Hydrology and Hydraulics , 11 ( 1 ) , 17 – 31.
Kraus , A. , & Litzenberger , R. H. ( 1976 ). Skewness preference and the valuation of risk
assets. Journal of Finance , 31 , 1085 – 1100.
Lhabitant, F. S. (1998). On the (ab)use of Taylor series approximations for portfolio
selection, portfolio performance and risk management. Working Paper, University
of Lausanne.
Lilliefors , H. W. ( 1967 ). On the Kolmogorov – Smirnov test for normality with mean and
variance unknown. Journal of the American Statistical Association , 62 , 399 – 402.
Mandelbrot , B. ( 1963 ). The variation of certain speculative prices. Journal of Business ,
35 , 394 – 419.
Maringer, D. (2007). Risk preferences and loss aversion in portfolio optimization.
Working Paper, University of Essex.
Maringer , D. , & Parpas , P. ( 2009 ). Global optimization of higher order moments in
portfolio selection. Journal of Global Optimization , 43 , 219 – 230.
Markowitz , H. M. ( 1952 ). Portfolio selection. Journal of Finance , 7 , 77 – 91.
Mittnik , S. , & Paolella , M. S. ( 2000 ). Conditional density and value-at-risk prediction
of Asian currency exchange rates. Journal of Forecasting , 19 , 313 – 333.