Optimal Portfolio Allocation under Higher Moments
By Eric Jondeau, Michael Rockinger. 2006
469 citations recorded by the source corpus.
Subfields: Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/e8427c6df1d6f51d78aaeee4606ce5bb494b878d
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Nicola Maria Rinaldo Loperfido
- C. Adcock
- Andrew Urquhart
- Emmanouil Platanakis
- Walter Briec
- Martin Eling
- Kristiaan Kerstens
- R. Faust
In Management Science and Operations Research
- Walter Briec
- Kristiaan Kerstens
- Emmanouil Platanakis
- Nicola Maria Rinaldo Loperfido
- Martin Eling
- C. Adcock
- Andrew Urquhart
- Adelchi Azzalini
Citations in the corpus
- Portfolio selection in multidimensional general and partial moment space (2010, background): “In the recent literature one can find various general approaches to estimating efficient portfolios including higher moments (see Adler and Kritzman, 2006; Gourieroux and Monfort, 2005; Harvey et al., 2004; Jondeau and Rockinger, 2006; Sharpe, 2007, amongst others).”
- Improved Estimates of Higher-Order Comoments and Implications for Portfolio Selection (2010, unknown): “This includes optimal shrinkage towards the grand mean (Jorion, 1985, 1986), optimal shrinkage towards the single-factor model (Ledoit and Wolf, 2003) or optimal shrinkage towards the constant correlation estimate (Ledoit and Wolf, 2004).”
- Skewed distributions in finance and actuarial science: a review (2015, background): “Jondeau and Rockinger (2006a) are concerned with optimal portfolio allocation under higher moments.”
- Should Investors Include Commodities in Their Portfolios After All? New Evidence (2011, unknown): “In the case where the non-normality of returns is not taken into account in the optimal portfolio formation process, then there is a utility loss (Jondeau and Rockinger, 2006).”
- Should investors include Bitcoin in their portfolios? A portfolio theory approach (2020, background): “To investigate further why the benefit is greater for certain asset allocation strategies, we also analyse the portfolio shares allocated to Bitcoin in different asset allocation strategies.”
- Moment Component Analysis: An Illustration With International Stock Markets (2018, unknown): “The unfolded co-skewness and co-kurtosis tensor expressions (2.8) and (2.9) are equivalent to the heuristic notations that have been proposed in the financial literature by Athayde and Flôres (2004) and Jondeau and Rockinger (2006).”
- Estimation and Decomposition of Downside Risk for Portfolios with Non-Normal Returns (2008, unknown): “It is computationally convenient to express the portfolio moments as a function of the multivariate moments of the returns on the underlying assets, using the N × N2 co-skewness matrix: M3 = E[(r − μ)(r − μ)′ ⊗ (r − μ)′] and the N × N3 co-kurtosis matrix: M4 = E[(r − μ)(r − μ)′ ⊗ (r − μ)′ ⊗ (r − μ)′”