Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments

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In spite of their importance, third or higher moments of portfolio returns are often neglected in portfolio construction problems due to the computational difficulties associated with them. In this paper, we propose a new robust mean-variance approach that can control portfolio skewness and kurtosis without imposing higher moment terms. The key idea is that, if the uncertainty sets are properly constructed, robust portfolios based on the worst-case approach within the mean-variance setting favor skewness and penalize kurtosis.
Publisher
ELSEVIER SCIENCE SA
Issue Date
2014-02
Language
English
Article Type
Article
Keywords

RISK

Citation

ECONOMICS LETTERS, v.122, no.2, pp.154 - 158

ISSN
0165-1765
DOI
10.1016/j.econlet.2013.11.024
URI
http://hdl.handle.net/10203/188804
Appears in Collection
IE-Journal Papers(저널논문)
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