Algorithmic portfolio tilting to harvest higher moment gains

Kris Boudt; Dries Cornilly; Frederiek Van Holle; Joeri Willems

doi:10.1016/j.heliyon.2020.e03516

Algorithmic portfolio tilting to harvest higher moment gains

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

^*Corresponding author for this work

Econometrics and Data Science

Research output: Contribution to Journal › Article › Academic › peer-review

Abstract

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

Original language	English
Article number	e03516
Pages (from-to)	1-8
Number of pages	8
Journal	Heliyon
Volume	6
Issue number	3
DOIs	https://doi.org/10.1016/j.heliyon.2020.e03516
Publication status	Published - Mar 2020

Funding

The authors gratefully acknowledge support from the Research Foundation - Flanders ( FWO research grant G 023815 N and PhD fellowship 1114117 N ).

Funders	Funder number
Research Foundation - Flanders
Fonds Wetenschappelijk Onderzoek	G023815N, 1114117N

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

SDG 8 Decent Work and Economic Growth

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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10.1016/j.heliyon.2020.e03516

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Persistent link

Cite this

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title = "Algorithmic portfolio tilting to harvest higher moment gains",

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

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

author = "Kris Boudt and Dries Cornilly and \{Van Holle\}, Frederiek and Joeri Willems",

year = "2020",

month = mar,

doi = "10.1016/j.heliyon.2020.e03516",

language = "English",

volume = "6",

pages = "1--8",

journal = "Heliyon",

issn = "2405-8440",

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T1 - Algorithmic portfolio tilting to harvest higher moment gains

AU - Boudt, Kris

AU - Cornilly, Dries

AU - Van Holle, Frederiek

AU - Willems, Joeri

PY - 2020/3

Y1 - 2020/3

N2 - Mean-variance-skewness-kurtosis; Non-normality; Portfolio allocation; Tilting; Statistics; Finance; Banking; Econometrics; Operations management; Business; Economics; Information science; Industry

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

KW - Banking

KW - Business

KW - Econometrics

KW - Economics

KW - Finance

KW - Industry

KW - Information science

KW - Mean-variance-skewness-kurtosis

KW - Non-normality

KW - Operations management

KW - Portfolio allocation

KW - Statistics

KW - Tilting

UR - https://www.scopus.com/pages/publications/85080972411

UR - https://www.scopus.com/pages/publications/85080972411#tab=citedBy

U2 - 10.1016/j.heliyon.2020.e03516

DO - 10.1016/j.heliyon.2020.e03516

M3 - Article

AN - SCOPUS:85080972411

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VL - 6

SP - 1

EP - 8

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IS - 3

M1 - e03516

ER -

Algorithmic portfolio tilting to harvest higher moment gains

Abstract

Funding

UN SDGs

Keywords

Access to Document

Persistent URL (handle)

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Cite this