On certain geometric aspects of portfolio optimisation with higher moments

dc.contributor.authorGUSTAVO MONTEIRO DE ATHAYDE
dc.contributor.authorFlôres Junior, Renato Galvão
dc.coverage.paisNão Informadopt_BR
dc.creatorFlôres Junior, Renato Galvão
dc.date.accessioned2022-12-09T23:35:21Z
dc.date.available2022-12-09T23:35:21Z
dc.date.issued2012
dc.description.notesEvidênciapt_BR
dc.description.otherThis chapter derives analytically the unconstrained minimum variance portfolio frontier in the mean-variance/kurtosis-skewness spaces when a risk-free rate exists, using compact tensor notation for the portfolio moments. Even moments, being always non-negative, are duly associated with spread, and both variance and kurtosis are used as simple numerical summaries of the dispersion of a set of observations. This chapter discusses geometric properties related to the minimisation of a portfolio kurtosis given its first two odd moments, considering a risk-less asset and allowing for short-sales. The findings are generalised for the minimisation of any given even portfolio moment with fixed excess return and skewness, and then for the case in which only excess return is constrained. An example with two risky assets provides a better insight into the problems related to the solutions. The importance of the geometric properties and their use in the higher moment portfolio choice context are also discussed.pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.isbn9780470034156pt_BR
dc.identifier.isbn9781119201830pt_BR
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/4872
dc.language.isoInglêspt_BR
dc.publisherNão informadopt_BR
dc.relation.isreferencedbyMulti-moment asset allocation and pricing modelspt_BR
dc.relation.urihttps://doi.org/10.1002/9781119201830.ch2pt_BR
dc.rights.licenseO INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DOS USUÁRIOS INDIVIDUAIS VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITORpt_BR
dc.subject.keywordsPortfolio optimisationpt_BR
dc.subject.keywordsRisk-free ratept_BR
dc.subject.keywordsPortfolio kurtosispt_BR
dc.subject.keywordsPortfolio momentspt_BR
dc.subject.keywordsRisky assetspt_BR
dc.titleOn certain geometric aspects of portfolio optimisation with higher momentspt_BR
dc.typebook part
dspace.entity.typePublication
local.subject.cnpqCiências Sociais Aplicadaspt_BR
local.typeCapítulo de Livropt_BR
relation.isAuthorOfPublicationa57614f1-05fc-47e3-88a9-59266040a6dc
relation.isAuthorOfPublication.latestForDiscoverya57614f1-05fc-47e3-88a9-59266040a6dc
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