Efficient frontier for robust higher-order moment portfolio selection

Emmanuel F. Jurczenko (), Bertrand Maillet and Paul M. Merlin ()
Additional contact information
Emmanuel F. Jurczenko: ESCP-EAP, http://www.escpeurope.eu/fr
Paul M. Merlin: A.A.Advisors ( ABN AMRO) Variances et Centre d'Economie de la Sorbonne, https://centredeconomiesorbonne.univ-paris1.fr

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

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

Keywords: Efficient frontier; portfolio selection; robust higher L-moments; shortage function; goal attainment application (search for similar items in EconPapers)
JEL-codes: C45 G11 G12 G14 (search for similar items in EconPapers)
Pages: 70 pages
Date: 2008-10
New Economics Papers: this item is included in nep-eff
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Citations: View citations in EconPapers (2)

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ftp://mse.univ-paris1.fr/pub/mse/CES2008/Bla08062.pdf (application/pdf)

Related works:
Working Paper: Efficient Frontier for Robust Higher-order Moment Portfolio Selection (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:bla08062

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