Algorithmic portfolio tilting to harvest higher moment gains

Kris Boudt*, Dries Cornilly, Frederiek Van Holle, Joeri Willems

*Corresponding author for this work

Research output: Contribution to JournalArticleAcademicpeer-review

Abstract

Mean-variance-skewness-kurtosis; Non-normality; Portfolio allocation; Tilting; Statistics; Finance; Banking; Econometrics; Operations management; Business; Economics; Information science; Industry

Original languageEnglish
Article numbere03516
Pages (from-to)1-8
Number of pages8
JournalHeliyon
Volume6
Issue number3
DOIs
Publication statusPublished - Mar 2020

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Keywords

  • Banking
  • Business
  • Econometrics
  • Economics
  • Finance
  • Industry
  • Information science
  • Mean-variance-skewness-kurtosis
  • Non-normality
  • Operations management
  • Portfolio allocation
  • Statistics
  • Tilting

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