Algorithmic portfolio tilting to harvest higher moment gains

Many financial portfolios are not mean-variance-skewness-kurtosis efficient. We recommend tilting these portfolios in a direction that increases their estimated mean and third central moment and decreases their variance and fourth central moment. The advantages of tilting come at the cost of deviati...

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Detalles Bibliográficos
Autores principales: Boudt, Kris, Cornilly, Dries, Van Holle, Frederiek, Willems, Joeri
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7062767/
https://www.ncbi.nlm.nih.gov/pubmed/32181391
http://dx.doi.org/10.1016/j.heliyon.2020.e03516

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7062767/
https://www.ncbi.nlm.nih.gov/pubmed/32181391
http://dx.doi.org/10.1016/j.heliyon.2020.e03516

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