Effects of skewness and kurtosis on portfolio rankings

DOI10.1080/14697688.2010.495723zbMATH Open1260.91227OpenAlexW2155404688MaRDI QIDQ4911222FDOQ4911222

Authors: Massimo Di Pierro, Jack W. Mosevich 

Publication date: 14 March 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2010.495723

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zbMATH Keywords

kurtosisskewnessexponential utilityportfolio rankings

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Coherent measures of risk
• The bargaining problem
• THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY

Cited In (5)

• Estimations and asymptotic behaviors of coherent entropic risk measure for sums of random variables
• Sharpe thinking in asset ranking with one-sided measures
• On the role of skewness, kurtosis, and the location and scale condition in a Sharpe ratio performance evaluation setting
• Title not available (Why is that?)
• Kurtosis-based risk parity: methodology and portfolio effects

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