Finding a maximum skewness portfolio--a general solution to three-moments portfolio choice

By Gustavo M Athayde, R. Flôres. 2004

197 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/c487bbeb54a8a4c10b64ab36bc0a84bdeae84d30

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

In Management Science and Operations Research

Citations in the corpus

Optimal Portfolio Allocation under Higher Moments (2006, unknown): “This statistics is distributed as a 2 (4) under the null of no serial correlation.”
Foreign Participation in Local-Currency Bond Markets (2004, methodology): “We follow work by Kraus and Litzenberger (1976), Athayde and Flores (2004), and Harvey, Liechty, Liechty, and Muller (2003) and sketch a model in which investors care about the mean, variance, and skewness of returns.”
Portfolio selection in multidimensional general and partial moment space (2010, background): “For instance, de Athayde and Flôres (2004) develop an analytical solution to characterize the MVS portfolio frontier assuming a risk-free asset and shorting by minimizing the variance for given mean and skewness.”
Moment Component Analysis: An Illustration With International Stock Markets (2018, unknown): “C =M(r)×1 U((1)) ×2 U((2)) · · · ×k U, (2.”
Portfolio Choice Problems (2010, background): “Other work on incorporating higher-order moments include Kraus and Litzenberger (1976), Kane (1982), Simaan (1993), de Athayde and Flores (2004), and Harvey, Liechty, Liechty, and Müller (2004). subject to the budget constraint: Ws+1 = Ws ( xs ′rs+1 + Rfs ) (2.10) and having positive wealth each…”
Multivariate Location-Scale Mixtures of Normals and Mean-Variance-Skewness Portfolio Allocation (2009, background): “It is not difficult to show that (14) satisfies the set of properties obtained by Athayde and Flôres (2004) for general distributions.”
Skewed distributions in finance and actuarial science: a review (2015, background): “De Athayde and Flôres (2004) present a general solution to the three-moment portfolio choice problem.”