A theoretical generalization of the Markowitz model incorporating skewness and kurtosis

DOI10.1080/14697688.2023.2176250zbMath1519.91232OpenAlexW4321366566MaRDI QIDQ6101079

Pierpaolo Uberti

Publication date: 20 June 2023

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

Full work available at URL: https://doi.org/10.1080/14697688.2023.2176250

zbMATH Keywords

kurtosismathematical programmingportfolio optimizationskewnesshigher moments

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10)

Cites Work

• New results on high-order risk changes
• Moment preferences and polynomial utility
• Finding a maximum skewness portfolio -- a general solution to three-moments portfolio choice
• A characterization of the distributions that imply mean-variance utility functions
• The Distribution of the Sample Minimum-Variance Frontier
• Portfolio selection with higher moments
• A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
• A Test for Normality of Observations and Regression Residuals

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