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Portfolio Selection with Higher Moments and Application on Zagreb Stock Exchange

Author

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  • Tihana Škrinjariæ

    (Faculty of Economics and Business, University of Zagreb, Croatia)

Abstract

The Modern Portfolio Theory (MPT) has started a revolution in academic and investors’ circles since 1950s. In spite of the popularity of Markowitz’s portfolio selection, many critiques have been emerging throughout the years. One of them is the non normality of empirical return distributions. Accordingly, models have been developed in order to incorporate the aforementioned non normality. This paper focuses on the role of these models and optimizes a model with incorporated portfolio higher moments on Zagreb Stock Exchange. The results indicate that incorporating higher moments into the analysis changes the results sustainably when compared to the initial model. JEL Classification: G11

Suggested Citation

  • Tihana Škrinjariæ, 2013. "Portfolio Selection with Higher Moments and Application on Zagreb Stock Exchange," Zagreb International Review of Economics and Business, Faculty of Economics and Business, University of Zagreb, vol. 16(1), pages 65-78, May.
    • Handle: RePEc:zag:zirebs:v:16:y:2013:i:1:p:65-78
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    More about this item

    Keywords

    portfolio selection; optimization; Zagreb Stock Exchange; stocks; polynomial goal programming.;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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