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Efficient frontier for robust higher-order moment portfolio selection

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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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File URL: ftp://mse.univ-paris1.fr/pub/mse/CES2008/Bla08062.pdf
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Paper provided by Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne in its series Documents de travail du Centre d'Economie de la Sorbonne with number bla08062.

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Length: 70 pages
Date of creation: Oct 2008
Date of revision:
Handle: RePEc:mse:cesdoc:bla08062

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Keywords: Efficient frontier; portfolio selection; robust higher L-moments; shortage function; goal attainment application.;

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Cited by:
  1. Walter Briec & Kristiaan Kerstens, 2009. "Portfolio Selection in Multidimensional General and Partial Moment Space," Working Papers 2009-ECO-08, IESEG School of Management.

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