Browsing FGV EPGE - Escola Brasileira de Economia e Finanças by Title "Do higher moments really matter in portfolio choice?"
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Do higher moments really matter in portfolio choice?
2004-12-01We 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 ...


