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|Abstract:||In spite of their importance, third or higher moments of portfolio returns are often neglected in portfolio construction problems due to the computational difficulties associated with them. In this paper, we propose a new robust mean–variance approach that can control portfolio skewness and kurtosis without imposing higher moment terms. The key idea is that, if the uncertainty sets are properly constructed, robust portfolios based on the worst-case approach within the mean–variance setting favor skewness and penalize kurtosis.|
|Citation:||Kim, Woo Chang, Frank J. Fabozzi, Patrick Cheridito, and Charles Fox. "Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments." Economics Letters 122, no. 2 (2014): 154-158. doi: 10.1016/j.econlet.2013.11.024|
|Pages:||154 - 158|
|Type of Material:||Journal Article|
|Journal/Proceeding Title:||Economics Letters|
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