Portfolio Efficiency Analysis in Three Moments: The Multiperiod Case†

Arditti, Fred D.; Levy, Haim

doi:10.1111/j.1540-6261.1975.tb01851.x

Cited by 61 publications

(39 citation statements)

References 17 publications

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“…However, there is controversy over the issue of whether higher moments should be considered in portfolio selection. (See Samuelson, 1970;Arditti and Levy 1975;Kraus and Litzenberger, 1976;Singleton and Wingender,1986;Prakash et al, 2003, andSun andYan 2003). In this paper, we base our portfolio analysis upon the earlier argument that the higher moments of return distributions are relevant to the investor's decision and cannot be neglected, as mentioned in Machina and Müller (1987) and in Jurczenko and Maillet (2006).…”

Section: Introductionmentioning

confidence: 93%

International Portfolio Optimization with Higher Moments

Mhiri¹,

Prigent²

2010

IJEF

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We analyze the international portfolio optimization problem by introducing the higher moments of the main financial index returns. We take especially account of their skewness and kurtosis. We introduce various decision criteria, based on these moments. In this framework, we solve different optimization problems: skewness maximization, kurtosis minimization, Polynomial Goal Programming (PGP), and finally, truncated utility maximization. For all of these objective functions, we determine, analyze and compare the optimal solutions, especially their degree of diversification.We illustrate our results on monthly returns of eighteen major international stock market

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Section: Introductionmentioning

confidence: 93%

International Portfolio Optimization with Higher Moments

Mhiri¹,

Prigent²

2010

IJEF

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“…However, these moments are generally inadequate to explain portfolios in the case of non-normal return distribution [2][3][4]. Therefore, many studies have discussed the issue of whether higher moments should be accounted for the portfolio selection problem [2][3][4][5][6][7][8][9][10]. In particular, Chunhachinda et al [2], Arditti [5] and Arditti and Levy [6] assert that higher moments cannot be neglected, unless there is a reason to believe that the asset returns are distributed normally or OPEN ACCESS that higher moments are irrelevant to the investor's decision.…”

Section: Introductionmentioning

confidence: 99%

“…Therefore, many studies have discussed the issue of whether higher moments should be accounted for the portfolio selection problem [2][3][4][5][6][7][8][9][10]. In particular, Chunhachinda et al [2], Arditti [5] and Arditti and Levy [6] assert that higher moments cannot be neglected, unless there is a reason to believe that the asset returns are distributed normally or OPEN ACCESS that higher moments are irrelevant to the investor's decision. Prakash et al [4], Harvey et al [8] and Ibbotson [10] discuss existence of the higher moments in an asset allocation system if the returns do not follow a symmetrical probability distribution.…”

Section: Introductionmentioning

confidence: 99%

Mean-Variance-Skewness-Entropy Measures: A Multi-Objective Approach for Portfolio Selection

Usta

Kantar

2011

Entropy

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Abstract:In this study, we present a multi-objective approach based on a mean-varianceskewness-entropy portfolio selection model (MVSEM). In this approach, an entropy measure is added to the mean-variance-skewness model (MVSM) to generate a well-diversified portfolio. Through a variety of empirical data sets, we evaluate the performance of the MVSEM in terms of several portfolio performance measures. The obtained results show that the MVSEM performs well out-of sample relative to traditional portfolio selection models.

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“…The 1 0 Another interesting but slightly different question on horizon effects is the shape of the distribution of returns, which is related to Section 5.1. Arditti and Levy (1976) studied skewness in multi-period returns under i.i.d.…”

Section: Long-term Choice and Predictabilitymentioning

confidence: 99%

Portfolio Choice Beyond the Traditional Approach

Peñaranda

2007

SSRN Journal

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This paper surveys asset allocation methods that extend the traditional approach. An important feature of the the traditional approach is that measures the risk and return tradeoff in terms of mean and variance of final wealth. However, there are also other important features that are not always made explicit in terms of investor's wealth, information, and horizon: The investor makes a single portfolio choice based only on the mean and variance of her final financial wealth and she knows the relevant parameters in that computation. First, the paper describes traditional portfolio choice based on four basic assumptions, while the rest of the sections extend those assumptions. Each section will describe the corresponding equilibrium implications in terms of portfolio advice and asset pricing.

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Portfolio Efficiency Analysis in Three Moments: The Multiperiod Case†

Cited by 61 publications

References 17 publications

International Portfolio Optimization with Higher Moments

International Portfolio Optimization with Higher Moments

Mean-Variance-Skewness-Entropy Measures: A Multi-Objective Approach for Portfolio Selection

Portfolio Choice Beyond the Traditional Approach

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