Emmanuel Jurczenko () (ESCP-EAP - ESCP-EAP) Bertrand Maillet () (A.A.Advisors-QCG - ABN AMRO, EIF - Europlace Institute of Finance, CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Panthéon-Sorbonne - Paris I) Paul Merlin () (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Panthéon-Sorbonne - Paris I, A.A.Advisors - ABN AMRO)
Abstract
This article proposes a non-parametric portfolio selection criterion for the static asset allocation problem in a robust higher-moment framework. Adopting the Shortage Function approach, we generalize the multi-objective optimization technique in a four-dimensional space using L-moments, and focus on various illustrations of a four-dimensional set of the first four L-moment primal efficient portfolios. our empirical findings, using a large European stock database, mainly rediscover the earlier works by Jean (1973) and Ingersoll (1975), regarding the shape of the extended higher-order moment efficient frontier, and confirm the seminal prediction by Levy and Markowitz (1979) about the accuracy of the mean-variance criterion.
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Length: Date of creation: Oct 2008 Date of revision: Handle: RePEc:hal:cesptp:halshs-00336475_v1
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