- Author
- Kris Boudt (UGent) , Dries Cornilly, Frederiek Van Holle and Joeri Willems
- Organization
- Abstract
- 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 a UCITS-compliant asset allocation setting.
- Keywords
- ASSET ALLOCATION, HIGHER-ORDER, RISK, CHOICE, Mean-variance-skewness-kurtosis, Non-normality, Portfolio allocation, Tilting, Statistics, Finance, Banking, Econometrics, Operations, management, Business, Economics, Information science, Industry
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Citation
Please use this url to cite or link to this publication: http://hdl.handle.net/1854/LU-8659453
- MLA
- Boudt, Kris, et al. “Algorithmic Portfolio Tilting to Harvest Higher Moment Gains.” HELIYON, vol. 6, no. 3, 2020, doi:10.1016/j.heliyon.2020.e03516.
- APA
- Boudt, K., Cornilly, D., Van Holle, F., & Willems, J. (2020). Algorithmic portfolio tilting to harvest higher moment gains. HELIYON, 6(3). https://doi.org/10.1016/j.heliyon.2020.e03516
- Chicago author-date
- Boudt, Kris, Dries Cornilly, Frederiek Van Holle, and Joeri Willems. 2020. “Algorithmic Portfolio Tilting to Harvest Higher Moment Gains.” HELIYON 6 (3). https://doi.org/10.1016/j.heliyon.2020.e03516.
- Chicago author-date (all authors)
- Boudt, Kris, Dries Cornilly, Frederiek Van Holle, and Joeri Willems. 2020. “Algorithmic Portfolio Tilting to Harvest Higher Moment Gains.” HELIYON 6 (3). doi:10.1016/j.heliyon.2020.e03516.
- Vancouver
- 1.Boudt K, Cornilly D, Van Holle F, Willems J. Algorithmic portfolio tilting to harvest higher moment gains. HELIYON. 2020;6(3).
- IEEE
- [1]K. Boudt, D. Cornilly, F. Van Holle, and J. Willems, “Algorithmic portfolio tilting to harvest higher moment gains,” HELIYON, vol. 6, no. 3, 2020.
@article{8659453,
abstract = {{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 a UCITS-compliant asset allocation setting.}},
articleno = {{e03516}},
author = {{Boudt, Kris and Cornilly, Dries and Van Holle, Frederiek and Willems, Joeri}},
issn = {{2405-8440}},
journal = {{HELIYON}},
keywords = {{ASSET ALLOCATION,HIGHER-ORDER,RISK,CHOICE,Mean-variance-skewness-kurtosis,Non-normality,Portfolio allocation,Tilting,Statistics,Finance,Banking,Econometrics,Operations,management,Business,Economics,Information science,Industry}},
language = {{eng}},
number = {{3}},
pages = {{8}},
title = {{Algorithmic portfolio tilting to harvest higher moment gains}},
url = {{http://doi.org/10.1016/j.heliyon.2020.e03516}},
volume = {{6}},
year = {{2020}},
}
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