Browsing FGV EPGE - Ensaios Econômicos by Title "Finding a maximum skewness portfolio - A general solution to three-moments portfolio choice"
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Finding a maximum skewness portfolio - A general solution to three-moments portfolio choice
2001-09-10Considering 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 ...


