The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Portfolio selection with higher moments
Open accessAbstract
We propose a method for optimal portfolio selection using a Bayesian decision theoretic framework that addresses two major shortcomings of the Markowitz approach: the ability to handle higher moments and estimation error. We employ the skew normal distribution which has many attractive features for modeling multivariate returns. Our results suggest that it is important to incorporate higher order moments in portfolio selection. Further, our comparison to other methods where parameter uncertainty is either ignored or accommodated in an ad hoc way, shows that our approach leads to higher expected utility than the resampling methods that are common in the practice of finance.
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Citations
Cites
Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?
DeMiguel, V., Garlappi, L., & Uppal, R. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhm075 · Cited by 3,199
Cited by
Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?
DeMiguel, V., Garlappi, L., & Uppal, R. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhm075 · Cited by 3,199
Optimal Portfolio Choice with Parameter Uncertainty
Kan, R., & Zhou, G. (2007) · Journal of Financial and Quantitative Analysis · doi:10.1017/s0022109000004129 · Cited by 699
60 Years of portfolio optimization: Practical challenges and current trends
Kolm, P. N., Tütüncü, R., & Fabozzi, F. J. (2014) · European Journal of Operational Research · doi:10.1016/j.ejor.2013.10.060 · Cited by 632
Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach
Garlappi, L., Wang, T., & Uppal, R. (2004) · SSRN Electronic Journal · doi:10.2139/ssrn.671981 · Cited by 264
Mean-Variance-Skewness-Entropy Measures: A Multi-Objective Approach for Portfolio Selection
Usta, I., & Kantar, Y. M. (2011) · Entropy · doi:10.3390/e13010117 · Cited by 95
Metadata
- Authors
- Harvey, C. R., Liechty, J. C., Liechty, M. W., & Müller, P.
- Venue
- Quantitative Finance
- Publisher
- Informa UK Limited
- Published
- 2010-05
- Volume
- 10
- Issue
- 5
- Pages
- 469-485
- ISSN
- 1469-7688 (ISSN-L)
- 1469-7696
- OpenAlex
- W3122732812
- Cited by
- 535
- References
- 1
- FWCI
- 47.53
- Type
- journal article
- Language
- en
- Open access
- green
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- Harvey, C. R., Liechty, J. C., Liechty, M. W., & Müller, P. (2010). Portfolio selection with higher moments. Quantitative Finance. https://doi.org/10.1080/14697681003756877
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
