I am wondering what the relationship is between skewness, kurtosis and mean variance efficiency is.
Is it correct that particular investors are willing to give up mean variance efficiency in return for greater probability of positive returns. Does this mean that a investor trades a lower average return for bearing more exposure towards positively skewed return distributions and a higher kurtosis? Similar to a lottery type pay-off function? Or do they accept a lower risk adjusted return instead of average return? Holding other factors constant such as risk aversion.