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Algorithmic Portfolio Tilting to Harvest Higher Moment Gains
| Content Provider | Scilit |
|---|---|
| Author | Boudt, Kris Cornilly, Dries Holle, Frederiek Van Willems, Joeri |
| Copyright Year | 2019 |
| Description | Journal: SSRN Electronic Journal Many financial portfolios are optimized without taking the higher moments into account. We recommend tilting these portfolios in a direction that increases their estimated mean and third central moment and decreases their variance and fourth central moment. The tilting comes at the cost of deviating from the initial optimality criterion, but it also yields advantages. Here, we show the usefulness of mean-variance-skewness-kurtosis tilting for the equally-weighted, equal-risk-contribution and maximum diversification portfolio in a UCITS-compliant asset allocation setting. |
| Related Links | https://biblio.ugent.be/publication/8659453/file/8659455.pdf https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=3378491 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.3378491 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2019-05-08 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal Mean-variance-skewness-kurtosis Portfolio Allocation |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |