Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments

被引：21

作者：

Kim, Woo Chang ^{[1
]}

Fabozzi, Frank J. ^{[2
]}

Cheridito, Patrick ^{[3
]}

Fox, Charles ^{[4
]}

机构：

[1] Korea Adv Inst Sci & Technol, Dept Ind & Syst Engn, Taejon 305701, South Korea

[2] EDHEC, Sch Business, F-06202 Nice, France

[3] Princeton Univ, Dept Operat Res & Financial Engn, Princeton, NJ 08542 USA

[4] Pimco, Newport Beach, CA 92660 USA

来源：

ECONOMICS LETTERS | 2014年 / 122卷 / 02期

基金：

新加坡国家研究基金会;

关键词：

Portfolio selection; Robust portfolio; Higher moments; Mean-variance framework; RISK;

D O I：

10.1016/j.econlet.2013.11.024

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In spite of their importance, third or higher moments of portfolio returns are often neglected in portfolio construction problems due to the computational difficulties associated with them. In this paper, we propose a new robust mean-variance approach that can control portfolio skewness and kurtosis without imposing higher moment terms. The key idea is that, if the uncertainty sets are properly constructed, robust portfolios based on the worst-case approach within the mean-variance setting favor skewness and penalize kurtosis. (C) 2013 Elsevier B.V. All rights reserved.

引用

页码：154 / 158

页数：5