Algorithmic portfolio tilting to harvest higher moment gains.
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ABSTRACT:
SUBMITTER: Boudt K
PROVIDER: S-EPMC7062767 | biostudies-literature | 2020 Mar
REPOSITORIES: biostudies-literature
Publications
Algorithmic portfolio tilting to harvest higher moment gains.
Boudt Kris K Cornilly Dries D Van Holle Frederiek F Willems Joeri J
Heliyon 20200305 3
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 ...[more]
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