Year: 2008
Author: Guse, Frank, Rudolf, Markus
Credit and Capital Markets – Kredit und Kapital, Vol. 41 (2008), Iss. 2 : pp. 197–216
Abstract
Lopsided Portfolio Selection
In this Article we have analysed the implications for portfolio optimisation of returns on investment not distributed normally. We have focused our activities on analysing higher moments of distribution of returns and, in particular, on lopsidedness as the third moment of distribution. So, the approach selected for this article represents an immediate continuation of the mean variance selection by Markowitz (1952).
Journal Article Details
Publisher Name: Global Science Press
Language: German
DOI: https://doi.org/10.3790/kuk.41.2.197
Credit and Capital Markets – Kredit und Kapital, Vol. 41 (2008), Iss. 2 : pp. 197–216
Published online: 2008-08
AMS Subject Headings: Duncker & Humblot
Copyright: COPYRIGHT: © Global Science Press
Pages: 20
Author Details
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Automated portfolio rebalancing: Automatic erosion of investment performance?
Horn, Matthias
Oehler, Andreas
Journal of Asset Management, Vol. 21 (2020), Iss. 6 P.489
https://doi.org/10.1057/s41260-020-00183-0 [Citations: 9]