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11
votes
3answers
1k views

Role of skewness in portfolio optimization?

What is the role of skewness in portfolio optimization?
9
votes
3answers
2k views

How do I calculate the skewness of a portfolio of assets?

I need to calculate the skewness of a portfolio consisting of 6 assets. I know that for that I would need the co-skewness matrix between the assets. Does anybody know the formula for co-skewness or ...
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 ...
3
votes
2answers
480 views

Distribution for High Kurtosis

Can you please advise which distribution to follow when your skewness is 0.28 and Kurtosis value is 51. Since it's leptokurtic and positively skewed I would like to fit distribution and also wanted to ...
3
votes
1answer
2k views

How to annualize skewness and kurtosis based on daily returns

I'm trying to annualize the four moments based on a string of daily returns (continuously compounded) for 11 years. The formulas for the annualization of the mean and the standard deviation I did ...
2
votes
2answers
2k views

Calculating Portfolio Skewness & Kurtosis

I need to calculate the skewness and kurtosis of 2 asset portfolio, can someone please help me with the formulas and definition of terms? Thank you. I have been using the matrices method and I am not ...
1
vote
1answer
407 views

derivation of formula for portfolio skewness and kurtosis

Where can I find derivation of formula for portfolio skewness and kurtosis? I can find formulas everywhere, but not their derivations? For example, the portfolio variance formula is well known and I ...
1
vote
1answer
128 views

how to compute daily skewness of S&P daily return timeseries under no other more high - frequency time series?

As we all know , return time series marked features: fat tail or negative skewness and peakedness. For a similar problem of variance computation, we can compute variance by garch model and other ...
0
votes
0answers
51 views

I want to optimize an equity portfolio for the four central moments can anyone help me with the problem formulation

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 ...