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Finding a maximum skewness portfolio

Author

Listed:
  • Gustavo Athayde and Renato Flores

Abstract

Ways of finding a maximum skewness portfolio, with given return, variance and kurtosis, are presented. The methods take advantage of the special shape of the efficient portfolios manifold. Simpler solutions are obtained if the higher moments tensor has some particular structures. The problem of finding the optimal portoflio in a dynamic setting is also discussed. Areas where this portfolio is meaningful are outlined and an empirical application is fully developed.

Suggested Citation

  • Gustavo Athayde and Renato Flores, 2001. "Finding a maximum skewness portfolio," Computing in Economics and Finance 2001 273, Society for Computational Economics.
    • Handle: RePEc:sce:scecf1:273
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    Citations

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    Cited by:

    1. Marc Boissaux & Jang Schiltz, 2010. "An Optimal Control Approach to Portfolio Optimisation with Conditioning Information," LSF Research Working Paper Series 10-09, Luxembourg School of Finance, University of Luxembourg.

    More about this item

    Keywords

    skewness; kurtosis; optimal portfolio; efficient portfolios surface;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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