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Author
    Athayde, Gustavo M. de (1)Flôres Junior, Renato Galvão (1)
Subject
    Economia (1)
    Investimentos (1)
    Kurtosis (1)
    Markowitz solution (1)
    Modelos econométricos (1)
    Portfolio choice (1)
    Sensitivity analysis (1)Skewness (1)
Knowledge Area
    Economia (1)
FGV Units
    Escolas (1)... View More
Date Issued
    2004 (1)
Document type
    Working Paper (1)

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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 ...

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