A theoretical generalization of the Markowitz model incorporating skewness and kurtosis

DOI10.1080/14697688.2023.2176250zbMATH Open1519.91232OpenAlexW4321366566MaRDI QIDQ6101079FDOQ6101079

Authors: 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

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zbMATH Keywords

kurtosismathematical programmingskewnessportfolio optimizationhigher moments

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (9)

• Portfolio selection with skewness
• Capital asset pricing model when data is skewed
• Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments
• Portfolio optimization with serially correlated, skewed and fat tailed index returns
• A globally convergent method for solving a quartic generalized Markowitz portfolio problem
• Comment on ``Skewness-aware asset allocation
• Portfolio selection with higher moments
• Effects of skewness and kurtosis on portfolio rankings
• Skewness-aware asset allocation: a new theoretical framework and empirical evidence

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