Algorithmic portfolio tilting to harvest higher moment gains

Heliyon

Joeri Willems¹  Frederiek Van Holle²  Dries Cornilly³  Kris Boudt⁴ 

[1] Corresponding author at: Universiteit Gent, Sint-Pietersplein 5, 9000 Gent, Belgium.;Vrije Universiteit Amsterdam, De Boelelaan 1105, 1081 Amsterdam, Netherlands;Vrije Universiteit Brussel, Pleinlaan 2, 1050 Brussel, Belgium;Universiteit Gent, Sint-Pietersplein 5, 9000 Gent, Belgium;

关键词: Mean-variance-skewness-kurtosis;    Non-normality;    Portfolio allocation;    Tilting;    Statistics;    Finance;   

DOI  :  

来源: DOAJ

【 摘 要 】

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 deviation from the initial optimality criterion. In this paper, we show the usefulness of portfolio tilting applied to the equally-weighted, equal-risk-contribution and maximum diversification portfolios in a UCITS-compliant asset allocation setting.

【 授权许可】

Unknown