In this dissertation a four moment asset allocation model is proposed. Some assumptions are made in order to simplify the optimization model and to obtain a closed form solution for the optimal portfolio. In particular, the key assumption concerns the representation of skewness and kurtosis. The obtained optimal portfolio is a generalization of the classical two moments optimal portfolio, see Markowitz (1952). This generalization permits to write the optimal portfolio as the sum of three portfolios: the first one is the meanvariance optimal portfolio, the second one depends on the skewness only and the third one on the kurtosis only. Moreover, the efficient frontier and a four funds separation theorem has been derived in the four moments framework.

(2010). Higher moments asset allocation. (Tesi di dottorato, Università degli Studi di Milano-Bicocca, 2010).

Higher moments asset allocation

Abstract

In this dissertation a four moment asset allocation model is proposed. Some assumptions are made in order to simplify the optimization model and to obtain a closed form solution for the optimal portfolio. In particular, the key assumption concerns the representation of skewness and kurtosis. The obtained optimal portfolio is a generalization of the classical two moments optimal portfolio, see Markowitz (1952). This generalization permits to write the optimal portfolio as the sum of three portfolios: the first one is the meanvariance optimal portfolio, the second one depends on the skewness only and the third one on the kurtosis only. Moreover, the efficient frontier and a four funds separation theorem has been derived in the four moments framework.
Scheda breve Scheda completa Scheda completa (DC)
DE GIULI, MARIA ELENA
Higher Moments, Asset Allocation, Skewness, Kurtosis, Optimization
SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE
English
22-giu-2010
Scuola di Dottorato in Statistica e Matematica Applicata alla Finanza
MATEMATICA PER L'ANALISI DEI MERCATI FINANZIARI - 31R
22
2008/2009
open
(2010). Higher moments asset allocation. (Tesi di dottorato, Università degli Studi di Milano-Bicocca, 2010).
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Utilizza questo identificativo per citare o creare un link a questo documento: `https://hdl.handle.net/10281/11955`