Finding a maximum skewness portfolio - a general solution to three-moments portfolio choice

dc.contributor.authorGUSTAVO MONTEIRO DE ATHAYDE
dc.contributor.authorFlôres Junior, Renato Galvão
dc.coverage.paisNão Informadopt_BR
dc.creatorFlôres Junior, Renato Galvão
dc.date.accessioned2022-12-09T22:22:14Z
dc.date.available2022-12-09T22:22:14Z
dc.date.issued2004
dc.description.notesTexto completopt_BR
dc.description.otherConsidering the three 2rst moments and allowing short sales, the e3cient portfolios set for n risky assets and a riskless one is found, supposing that agents like odd moments and dislike even ones. Analytical formulas for the solution surface are obtained and important geometric properties provide insights on its shape in the three-dimensional space de2ned by the moments. A special duality result is needed and proved. The methodology is general, comprising situations in which, for instance, the investor trades a negative skewness for a higher expected return. Computation of the optimum portfolio weights is feasible in most cases.pt_BR
dc.format.extentp. 1335-1352pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.doi10.1016/S0165-1889(02)00084-2pt_BR
dc.identifier.issn0165-1889pt_BR
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/4870
dc.identifier.volume28pt_BR
dc.language.isoInglêspt_BR
dc.publisherElsevierpt_BR
dc.relation.ispartofJournal of Economic Dynamics & Controlpt_BR
dc.relation.urihttps://doi.org/10.1016/S0165-1889(02)00084-2pt_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.keywordsDualitypt_BR
dc.subject.keywordsEfficient setpt_BR
dc.subject.keywordsHigher momentspt_BR
dc.subject.keywordsPortfolio choicept_BR
dc.subject.keywordsSkewnesspt_BR
dc.titleFinding a maximum skewness portfolio - a general solution to three-moments portfolio choicept_BR
dc.typejournal article
dspace.entity.typePublication
local.subject.cnpqCiências Sociais Aplicadaspt_BR
local.typeArtigo Científicopt_BR
relation.isAuthorOfPublicationa57614f1-05fc-47e3-88a9-59266040a6dc
relation.isAuthorOfPublication.latestForDiscoverya57614f1-05fc-47e3-88a9-59266040a6dc
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