Itens para a visualização no momento 1-5 of 5

    • A CAPM with higher moments: theory and econometrics 

      Athayde, Gustavo M. de; Flôres Junior, Renato Galvão (Escola de Pós-Graduação em Economia da FGV, 1997-10-01)
      We develop portfolio choice theory taking into consideration the first p~ moments of the underIying assets distribution. A rigorous characterization of the opportunity set and of the efficient portfolios frontier is given, ...
    • Do higher moments really matter in portfolio choice? 

      Athayde, Gustavo M. de; Flôres Junior, Renato Galvão (Escola de Pós-Graduação em Economia da FGV, 2004-12-01)
      We present explicit formulas for evaluating the difference between Markowitz weights and those from optimal portfolios, with the same given return, considering either asymmetry or kurtosis. We prove that, whenever the ...
    • Finding a maximum skewness portfolio - A general solution to three-moments portfolio choice 

      Athayde, Gustavo M. de; Flôres Junior, Renato Galvão (Escola de Pós-Graduação em Economia da FGV, 2001-09-10)
      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 ...
    • Introducing higher moments in the CAPM: some basic ideas 

      Athayde, Gustavo M. de; Flôres Junior, Renato Galvão (Escola de Pós-Graduação em Economia da FGV, 1999-11-01)
      We show how to include in the CAPM moments of any order, extending the mean-variance or mean-variance-skewness versions available until now. Then, we present a simple way to modify the formulae, in order to avoid the ...
    • On certain geometric aspects of portfolio optimisation with higher moments 

      Flôres Junior, Renato Galvão; Athayde, Gustavo M. de (Escola de Pós-Graduação em Economia da FGV, 2002-08-05)
      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 ...