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| Type: | Artigo Científico |
| Title: | Finding a maximum skewness portfolio - a general solution to three-moments portfolio choice |
| Author: | Athayde, Gustavo Monteiro de Flôres Junior, Renato Galvão |
| Publication Date: | 2004 |
| Abstract: | Considering 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. |
| Keywords (english terms): | Duality Efficient set Higher moments Portfolio choice Skewness |
| Language: | Inglês |
| CNPq Area: | Ciências Sociais Aplicadas |
| URI: | https://doi.org/10.1016/S0165-1889(02)00084-2 |
| Copyright: | O 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 EDITOR. |
| Notes: | Texto completo |
| Appears in Collections: | Coleção de Artigos |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| R_Artigo_2004_Finding a maximum skewness portfolio_TC.pdf | R_Artigo_2004_Finding a maximum skewness portfolio_TC | 382.41 kB | Adobe PDF | View/Open |
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