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Portfolio Selection in Multidimensional General and Partial Moment Space

  • Walter Briec

    (University of Perpignan, GEREM)

  • Kristiaan Kerstens

    ()

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

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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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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