Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. Join them; it only takes a minute:

Sign up
Here's how it works:
  1. Anybody can ask a question
  2. Anybody can answer
  3. The best answers are voted up and rise to the top

Basically i am confused as to which formula to use for portfolio skew and kurtosis and how to use the same in the optimization problem. I would also like to know the options available regarding the software on which the optimization can be done.

share|improve this question
    
What are you are doing to optimize for mean and standard deviation? – chrisaycock Nov 15 '13 at 14:49
    
I think mean and standard deviation optimization can be done in excel itself, however its the other two that are difficult can you suggest some method, also i am not so clear on the formulae, it would be of great help if someone could tell me or at least show me a decent place to find the formulae – Sai Nov 16 '13 at 3:46
    
The mean - variance framework can be justified via a Taylor Expansion stopping after the second step. Skew and Kurtosis can be included by expanding the Taylor approximation of the CE. – muffin1974 Jul 3 '15 at 11:40

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Browse other questions tagged or ask your own question.