Portfolio Selection with Higher Moments and Application on Zagreb Stock Exchange
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Tihana Škrinjariæ: Faculty of Economics and Business, University of Zagreb, Croatia
Authors registered in the RePEc Author Service: Tihana Škrinjarić ()
Zagreb International Review of Economics and Business, 2013, vol. 16, issue 1, 65-78
The Modern Portfolio Theory (MPT) has started a revolution in academic and investors’ circles since 1950s. In spite of the popularity of Markowitz’s portfolio selection, many critiques have been emerging throughout the years. One of them is the non normality of empirical return distributions. Accordingly, models have been developed in order to incorporate the aforementioned non normality. This paper focuses on the role of these models and optimizes a model with incorporated portfolio higher moments on Zagreb Stock Exchange. The results indicate that incorporating higher moments into the analysis changes the results sustainably when compared to the initial model. JEL Classification: G11
Keywords: portfolio selection; optimization; Zagreb Stock Exchange; stocks; polynomial goal programming. (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:zag:zirebs:v:16:y:2013:i:1:p:65-78
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