Now showing items 1-3 of 3
Do higher moments really matter in portfolio choice?
(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
(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
(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 ...