On certain geometric aspects of portfolio optimisation with higher moments

Detalhes bibliográficos
Autor(a) principal: Flôres Junior, Renato Galvão
Data de Publicação: 2002
Outros Autores: Athayde, Gustavo M. de
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/435
Resumo: We discuss 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 on the problems related to the solutions. The importance of the geometric properties and their use in the higher moments portfolio choice context is highlighted.
id FGV_1be0ebb03cd0bdc941eb3f9164e8ecc2
oai_identifier_str oai:repositorio.fgv.br:10438/435
network_acronym_str FGV
network_name_str Repositório Institucional do FGV (FGV Repositório Digital)
repository_id_str 3974
spelling Flôres Junior, Renato GalvãoAthayde, Gustavo M. deEscolas::EPGEFGV2008-05-13T15:24:06Z2010-09-23T18:57:49Z2008-05-13T15:24:06Z2010-09-23T18:57:49Z2002-08-050104-8910http://hdl.handle.net/10438/435We discuss 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 on the problems related to the solutions. The importance of the geometric properties and their use in the higher moments portfolio choice context is highlighted.engEscola de Pós-Graduação em Economia da FGVEnsaios Econômicos;453On certain geometric aspects of portfolio optimisation with higher momentsinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleEconomiaEconomiareponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessTHUMBNAIL1302.pdf.jpg1302.pdf.jpgGenerated Thumbnailimage/jpeg4320https://repositorio.fgv.br/bitstreams/c25259f5-60f4-4747-9437-1a53db710ba4/download2cd45bf95b8ce79043f54f77db7132c2MD58ORIGINAL1302.pdfapplication/pdf291501https://repositorio.fgv.br/bitstreams/3e8b553b-6ff9-422d-a91d-79ffe64ab432/downloaddaa845e60b131ae606e84907ab837662MD52TEXT1302.pdf.txt1302.pdf.txtExtracted texttext/plain44581https://repositorio.fgv.br/bitstreams/adb50cd4-1965-45e2-bfcb-bab82dc55109/downloade4d7d8a8628fe9c103377295542e95e8MD5710438/4352023-11-08 17:39:15.171open.accessoai:repositorio.fgv.br:10438/435https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742023-11-08T17:39:15Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)false
dc.title.eng.fl_str_mv On certain geometric aspects of portfolio optimisation with higher moments
title On certain geometric aspects of portfolio optimisation with higher moments
spellingShingle On certain geometric aspects of portfolio optimisation with higher moments
Flôres Junior, Renato Galvão
Economia
Economia
title_short On certain geometric aspects of portfolio optimisation with higher moments
title_full On certain geometric aspects of portfolio optimisation with higher moments
title_fullStr On certain geometric aspects of portfolio optimisation with higher moments
title_full_unstemmed On certain geometric aspects of portfolio optimisation with higher moments
title_sort On certain geometric aspects of portfolio optimisation with higher moments
author Flôres Junior, Renato Galvão
author_facet Flôres Junior, Renato Galvão
Athayde, Gustavo M. de
author_role author
author2 Athayde, Gustavo M. de
author2_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.affiliation.none.fl_str_mv FGV
dc.contributor.author.fl_str_mv Flôres Junior, Renato Galvão
Athayde, Gustavo M. de
dc.subject.area.por.fl_str_mv Economia
topic Economia
Economia
dc.subject.bibliodata.por.fl_str_mv Economia
description We discuss 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 on the problems related to the solutions. The importance of the geometric properties and their use in the higher moments portfolio choice context is highlighted.
publishDate 2002
dc.date.issued.fl_str_mv 2002-08-05
dc.date.accessioned.fl_str_mv 2008-05-13T15:24:06Z
2010-09-23T18:57:49Z
dc.date.available.fl_str_mv 2008-05-13T15:24:06Z
2010-09-23T18:57:49Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/435
dc.identifier.issn.none.fl_str_mv 0104-8910
identifier_str_mv 0104-8910
url http://hdl.handle.net/10438/435
dc.language.iso.fl_str_mv eng
language eng
dc.relation.ispartofseries.por.fl_str_mv Ensaios Econômicos;453
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Escola de Pós-Graduação em Economia da FGV
publisher.none.fl_str_mv Escola de Pós-Graduação em Economia da FGV
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
instname:Fundação Getulio Vargas (FGV)
instacron:FGV
instname_str Fundação Getulio Vargas (FGV)
instacron_str FGV
institution FGV
reponame_str Repositório Institucional do FGV (FGV Repositório Digital)
collection Repositório Institucional do FGV (FGV Repositório Digital)
bitstream.url.fl_str_mv https://repositorio.fgv.br/bitstreams/c25259f5-60f4-4747-9437-1a53db710ba4/download
https://repositorio.fgv.br/bitstreams/3e8b553b-6ff9-422d-a91d-79ffe64ab432/download
https://repositorio.fgv.br/bitstreams/adb50cd4-1965-45e2-bfcb-bab82dc55109/download
bitstream.checksum.fl_str_mv 2cd45bf95b8ce79043f54f77db7132c2
daa845e60b131ae606e84907ab837662
e4d7d8a8628fe9c103377295542e95e8
bitstream.checksumAlgorithm.fl_str_mv MD5
MD5
MD5
repository.name.fl_str_mv Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)
repository.mail.fl_str_mv
_version_ 1810024061166682112

Registros relacionados