Algorithmic portfolio tilting to harvest higher moment gains
Many financial portfolios are not mean-variance-skewness-kurtosis efficient. We recommend tilting these portfolios in a direction that increases their estimated mean and third central moment and decreases their variance and fourth central moment. The advantages of tilting come at the cost of deviati...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2020-03-01
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| Series: | Heliyon |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2405844020303613 |