This paper explores the possible improvements to portfolio construction techniques that the inclusion of skewness could bring. The main analysis has been done using the daily and monthly returns of 205 S&P500 components, ranging from 1990 to 2020, with a three-year rolling window approach for the selection of the stocks included in each portfolio. What this study will demonstrate is that the higher moments are necessary for portfolio optimization, and they can enhance the performances of the Markovitz approach that does not account for skewness as an input by itself
Portfolio Optimization: An Introduction to Higher Order Moments
Zancato, Daniele
2023/2024
Abstract
This paper explores the possible improvements to portfolio construction techniques that the inclusion of skewness could bring. The main analysis has been done using the daily and monthly returns of 205 S&P500 components, ranging from 1990 to 2020, with a three-year rolling window approach for the selection of the stocks included in each portfolio. What this study will demonstrate is that the higher moments are necessary for portfolio optimization, and they can enhance the performances of the Markovitz approach that does not account for skewness as an input by itselfFile in questo prodotto:
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Utilizza questo identificativo per citare o creare un link a questo documento:
https://hdl.handle.net/20.500.14247/10681