Portfolio Selection in Multidimensional General and Partial Moment Space

Walter Briec and Kristiaan Kerstens
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Walter Briec: University of Perpignan, GEREM

No 2009-ECO-08, Working Papers from IESEG School of Management

Abstract: This paper develops a general approach for the single period portfolio optimization problem in a multidimensional general and partial moment space. A shortage function is defined that looks for possible increases in odd moments and decreases in even moments. A main result is that this shortage function ensures suffcient conditions for global optimality. It also forms a natural basis for developing tests on the infuence of additional moments. Furthermore, a link is made with an approximation of an arbitrary order of a general indirectutility function. This nonparametric effciency measurement framework permits to dfferentiate mainly between portfolio effciency and allocative effciency. Finally, information can,in principle, be inferred about the revealed risk aversion, prudence, temperance and otherhigher-order risk characteristics of investors.

Keywords: shortage function; efficient frontier; K-moment portfolios (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Pages: 47 pages
Date: 2009-08
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Portfolio selection in multidimensional general and partial moment space (2010)
Working Paper: Portfolio selection in multidimensional general and partial moment space (2010)
Working Paper: Portfolio selection in multidimensional general and partial moment space (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:ies:wpaper:e200908

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