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Efficient Frontier for Robust Higher-order Moment Portfolio Selection

Emmanuel Jurczenko (), Bertrand Maillet and Paul Merlin ()
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Emmanuel Jurczenko: ESCP-EAP - ESCP-EAP
Paul Merlin: CES - Centre d'économie de la Sorbonne - UP1 - Université Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, A.A.Advisors - ABN AMRO

Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL

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: goal attainment application; Efficient frontier; portfolio selection; robust higher L-moments; shortage function; goal attainment application.; Frontière efficiente; sélection de portefeuille; moment d'ordre supérieur robuste; L-moment; fonction de pénurie. (search for similar items in EconPapers)
Date: 2008-10
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Published in Documents de travail du Centre d'Economie de la Sorbonne 2008.62 - ISSN : 1955-611X. 2008

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