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| Author: | Jondeau, E. Rockinger, M. |
| Title: | Optimal portfolio allocation under higher moments |
| Journal: | European Financial Management
2006 : JAN, VOL. 12:1, p. 29-55 |
| Index terms: | finance assets allocation stock returns portfolio management models |
| Language: | eng |
| Abstract: | In this paper, it is evaluated how departure from normality may affect the allocation (here as: alloc.) of assets. A Taylor series expansion of the expected utility (here as: exp-u-ty.) allows to focus on certain moments and to compute the optimal portfolio alloc. numerically. The 3-moment or 4-moment optimization strategies may provide a good approximation of the exp-u-ty. |
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