Please use this identifier to cite or link to this item: https://repositorio.insper.edu.br/handle/11224/4870
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

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