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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...
| Autores principales: | , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Elsevier
2020
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| Materias: | |
| 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 |