Joeri Willems

Degroof Petercam Asset Management

Rue Guimard 18

Brussels, 1040

Belgium

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Scholarly Papers (1)

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Algorithmic Portfolio Tilting to Harvest Higher Moment Gains

Number of pages: 15 Posted: 13 May 2019 Last Revised: 06 Jun 2019
Ghent University, Vrije Universiteit Brussel (VUB), Degroof Petercam Asset Management and Degroof Petercam Asset Management
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Abstract:

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mean-variance-skewness-kurtosis, non-normality, portfolio allocation, tilting