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Portfolio Selection in Multidimensional General and Partial Moment Space

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  • Walter Briec

    (University of Perpignan, GEREM)

  • Kristiaan Kerstens

    ()
    (CNRS-LEM (UMR 8179), IESEG School of Management)

Abstract

This paper develops a general approach for the single period portfolio optimization problem in a multidimensional general and partial moment space. A shortage function is defined that looks for possible increases in odd moments and decreases in even moments. A main result is that this shortage function ensures suffcient conditions for global optimality. It also forms a natural basis for developing tests on the infuence of additional moments. Furthermore, a link is made with an approximation of an arbitrary order of a general indirectutility function. This nonparametric effciency measurement framework permits to dfferentiate mainly between portfolio effciency and allocative effciency. Finally, information can,in principle, be inferred about the revealed risk aversion, prudence, temperance and otherhigher-order risk characteristics of investors.

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Bibliographic Info

Paper provided by IESEG School of Management in its series Working Papers with number 2009-ECO-08.

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Length: 47 pages
Date of creation: Aug 2009
Date of revision:
Handle: RePEc:ies:wpaper:e200908

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Keywords: shortage function; efficient frontier; K-moment portfolios;

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References

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Citations

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Cited by:
  1. Kerstens, Kristiaan & Mounir, Amine & Van de Woestyne, Ignace, 2011. "Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function," European Journal of Operational Research, Elsevier, Elsevier, vol. 210(1), pages 81-94, April.
  2. Massol, Olivier & Banal-Estañol, Albert, 2014. "Export diversification through resource-based industrialization: The case of natural gas," European Journal of Operational Research, Elsevier, Elsevier, vol. 237(3), pages 1067-1082.
  3. Kerstens, Kristiaan & Mounir, Amine & Van de Woestyne, Ignace, 2010. "Benchmarking Mean-Variance Portfolios. Using a Shortage Function: The Choice of Direction Vector," Working Papers, Hogeschool-Universiteit Brussel, Faculteit Economie en Management 2010/01, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
  4. Lamb, John D. & Tee, Kai-Hong, 2012. "Data envelopment analysis models of investment funds," European Journal of Operational Research, Elsevier, Elsevier, vol. 216(3), pages 687-696.
  5. Kerstens, Kristiaan & Mounir, Amine & Van de Woestyne, Ignace, 2010. "Non-Parametric Frontier Estimates of Mutual Fund Performance Using C- and L-Moments: Some Specification Tests," Working Papers, Hogeschool-Universiteit Brussel, Faculteit Economie en Management 2010/10, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
  6. Briec, Walter & Kerstens, Kristiaan & Van de Woestyne, Ignace, 2013. "Portfolio selection with skewness: A comparison of methods and a generalized one fund result," European Journal of Operational Research, Elsevier, Elsevier, vol. 230(2), pages 412-421.
  7. Lamb, John D. & Tee, Kai-Hong, 2012. "Resampling DEA estimates of investment fund performance," European Journal of Operational Research, Elsevier, Elsevier, vol. 223(3), pages 834-841.
  8. Briec, Walter & Kerstens, Kristiaan & Van de Woestyne, Ignace, 2011. "Portfolio Selection with Skewness: A Comparison and a Generalized Two Fund Separation Result," Working Papers, Hogeschool-Universiteit Brussel, Faculteit Economie en Management 2011/09, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
  9. Constantin Zopounidis & Michael Doumpos, 2013. "Multicriteria decision systems for financial problems," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, Springer, vol. 21(2), pages 241-261, July.

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