Finding a maximum skewness portfolio

Gustavo Athayde and Renato Flores

No 273, Computing in Economics and Finance 2001 from Society for Computational Economics

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.

Keywords: skewness; kurtosis; optimal portfolio; efficient portfolios surface (search for similar items in EconPapers)
JEL-codes: C61 G11 G12 (search for similar items in EconPapers)
Date: 2001-04-01

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Persistent link: http://EconPapers.repec.org/RePEc:sce:scecf1:273

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