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
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author Boudt, Kris
Cornilly, Dries
Van Holle, Frederiek
Willems, Joeri
author_facet Boudt, Kris
Cornilly, Dries
Van Holle, Frederiek
Willems, Joeri
author_sort Boudt, Kris
collection PubMed
description 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 deviation from the initial optimality criterion. In this paper, we show the usefulness of portfolio tilting applied to the equally-weighted, equal-risk-contribution and maximum diversification portfolios in a UCITS-compliant asset allocation setting.
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spelling pubmed-70627672020-03-16 Algorithmic portfolio tilting to harvest higher moment gains Boudt, Kris Cornilly, Dries Van Holle, Frederiek Willems, Joeri Heliyon Article 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 deviation from the initial optimality criterion. In this paper, we show the usefulness of portfolio tilting applied to the equally-weighted, equal-risk-contribution and maximum diversification portfolios in a UCITS-compliant asset allocation setting. Elsevier 2020-03-05 /pmc/articles/PMC7062767/ /pubmed/32181391 http://dx.doi.org/10.1016/j.heliyon.2020.e03516 Text en © 2020 The Authors http://creativecommons.org/licenses/by/4.0/ This is an open access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).
spellingShingle Article
Boudt, Kris
Cornilly, Dries
Van Holle, Frederiek
Willems, Joeri
Algorithmic portfolio tilting to harvest higher moment gains
title Algorithmic portfolio tilting to harvest higher moment gains
title_full Algorithmic portfolio tilting to harvest higher moment gains
title_fullStr Algorithmic portfolio tilting to harvest higher moment gains
title_full_unstemmed Algorithmic portfolio tilting to harvest higher moment gains
title_short Algorithmic portfolio tilting to harvest higher moment gains
title_sort algorithmic portfolio tilting to harvest higher moment gains
topic Article
url 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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