Finding a maximum skewness portfolio - A general solution to three-moments portfolio choice

Detalhes bibliográficos
Autor(a) principal: Athayde, Gustavo M. de
Data de Publicação: 2001
Outros Autores: Flôres Junior, Renato Galvão
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/545
Resumo: Considering the three first moments and allowing short sales, the efficient portfolios set for n risky assets and a riskless one is found, supposing that agents like odd moments and dislike even ones. Analytical formulas for the solution surface are obtained and important geometric properties provide insights on its shape in the three dimensional space defined by the moments. A special duality result is needed and proved. The methodology is general, comprising situations in which, for instance, the investor trades a negative skewness for a higher expected return. Computation of the optimum portfolio weights is feasible in most cases.
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spelling Athayde, Gustavo M. deFlôres Junior, Renato GalvãoEscolas::EPGEFGV2008-05-13T15:26:20Z2010-09-23T18:58:27Z2008-05-13T15:26:20Z2010-09-23T18:58:27Z2001-09-100104-8910http://hdl.handle.net/10438/545Considering the three first moments and allowing short sales, the efficient portfolios set for n risky assets and a riskless one is found, supposing that agents like odd moments and dislike even ones. Analytical formulas for the solution surface are obtained and important geometric properties provide insights on its shape in the three dimensional space defined by the moments. A special duality result is needed and proved. The methodology is general, comprising situations in which, for instance, the investor trades a negative skewness for a higher expected return. Computation of the optimum portfolio weights is feasible in most cases.engEscola de Pós-Graduação em Economia da FGVEnsaios Econômicos;434Finding a maximum skewness portfolio - A general solution to three-moments portfolio choiceinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleEconomiaEconomiaInvestimentosModelos econométricosreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessTHUMBNAIL1282.pdf.jpg1282.pdf.jpgGenerated Thumbnailimage/jpeg4259https://repositorio.fgv.br/bitstreams/533093e1-87c5-4a38-92b4-02c4882bb552/downloade02e137d0fa6a6599a947a140855899cMD58ORIGINAL1282.pdfapplication/pdf239518https://repositorio.fgv.br/bitstreams/a39efa0a-5e03-4a88-bd8c-e1635d033d29/download02cac6bfda4b837a178d0dd9a0d42306MD52TEXT1282.pdf.txt1282.pdf.txtExtracted texttext/plain45051https://repositorio.fgv.br/bitstreams/2aca3c3b-df6d-4108-a24e-1e2d6a429bc5/download4585a8edf9eaec7a8480607acf7251d3MD5710438/5452023-11-09 00:03:42.153open.accessoai:repositorio.fgv.br:10438/545https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742023-11-09T00:03:42Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)false
dc.title.eng.fl_str_mv Finding a maximum skewness portfolio - A general solution to three-moments portfolio choice
title Finding a maximum skewness portfolio - A general solution to three-moments portfolio choice
spellingShingle Finding a maximum skewness portfolio - A general solution to three-moments portfolio choice
Athayde, Gustavo M. de
Economia
Economia
Investimentos
Modelos econométricos
title_short Finding a maximum skewness portfolio - A general solution to three-moments portfolio choice
title_full Finding a maximum skewness portfolio - A general solution to three-moments portfolio choice
title_fullStr Finding a maximum skewness portfolio - A general solution to three-moments portfolio choice
title_full_unstemmed Finding a maximum skewness portfolio - A general solution to three-moments portfolio choice
title_sort Finding a maximum skewness portfolio - A general solution to three-moments portfolio choice
author Athayde, Gustavo M. de
author_facet Athayde, Gustavo M. de
Flôres Junior, Renato Galvão
author_role author
author2 Flôres Junior, Renato Galvão
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 Athayde, Gustavo M. de
Flôres Junior, Renato Galvão
dc.subject.area.por.fl_str_mv Economia
topic Economia
Economia
Investimentos
Modelos econométricos
dc.subject.bibliodata.por.fl_str_mv Economia
Investimentos
Modelos econométricos
description Considering the three first moments and allowing short sales, the efficient portfolios set for n risky assets and a riskless one is found, supposing that agents like odd moments and dislike even ones. Analytical formulas for the solution surface are obtained and important geometric properties provide insights on its shape in the three dimensional space defined by the moments. A special duality result is needed and proved. The methodology is general, comprising situations in which, for instance, the investor trades a negative skewness for a higher expected return. Computation of the optimum portfolio weights is feasible in most cases.
publishDate 2001
dc.date.issued.fl_str_mv 2001-09-10
dc.date.accessioned.fl_str_mv 2008-05-13T15:26:20Z
2010-09-23T18:58:27Z
dc.date.available.fl_str_mv 2008-05-13T15:26:20Z
2010-09-23T18:58:27Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
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dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/545
dc.identifier.issn.none.fl_str_mv 0104-8910
identifier_str_mv 0104-8910
url http://hdl.handle.net/10438/545
dc.language.iso.fl_str_mv eng
language eng
dc.relation.ispartofseries.por.fl_str_mv Ensaios Econômicos;434
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)
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