Browsing FGV EPGE - Ensaios Econômicos by Title "On certain geometric aspects of portfolio optimisation with higher moments"

Now showing items 1-1 of 1

    • On certain geometric aspects of portfolio optimisation with higher moments 

      Flôres Junior, Renato Galvão; Athayde, Gustavo M. de
      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 ...