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https://repositorio.insper.edu.br/handle/11224/4872
Type: | Capítulo de Livro |
Title: | On certain geometric aspects of portfolio optimisation with higher moments |
Author: | Athayde, Gustavo Monteiro de Flôres Junior, Renato Galvão |
Publication Date: | 2012 |
Abstract: | This 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. |
Keywords (english terms): | Portfolio optimisation Risk-free rate Portfolio kurtosis Portfolio moments Risky assets |
Language: | Inglês |
CNPq Area: | Ciências Sociais Aplicadas |
URI: | https://doi.org/10.1002/9781119201830.ch2 |
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: | Evidência |
Book title: | Multi-moment asset allocation and pricing models |
Appears in Collections: | Coleção de Capítulos de Livros |
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R_Capítulo de livro_2012_On certain geometric aspects_EV.png | R_Capítulo de livro_2012_On certain geometric aspects_EV | 325.57 kB | image/png | View/Open |
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