9
votes
2answers
698 views

What is the relationship between risk aversion and preference for skewness and kurtosis in portfolio optimization?

Is there any relationship between the risk aversion coefficient in an individual's utility function (commonly used in portfolio optimization) and the preference for higher moments such as skewness and ...
11
votes
3answers
1k views

Role of skewness in portfolio optimization?

What is the role of skewness in portfolio optimization?