Atomic Portfolio Selection: MVSK Utility Optimization of Global Real Estate Securities
Finamatrix, July 2011
152 Pages Posted: 23 Jan 2011 Last revised: 5 Sep 2013
Date Written: June 16, 2004
Abstract
This research utilizes higher-moment risk-return relationships and portfolio selection strategies. It determines whether higher moments are significantly priced and evaluates time-varying high-moment characteristics of securities. A higher-moment (mean, variance, skewness, kurtosis or MVSK) portfolio selection framework is suggested and performance results are compared with the standard mean-variance (MV) method.
Keywords: co-variance, co-skewness, co-kurtosis, anti-moment, bi-moments, tri-moments, time-varying Kalman Filter
Suggested Citation: Suggested Citation
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