2
$\begingroup$

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.

$\endgroup$
  • $\begingroup$ What are you are doing to optimize for mean and standard deviation? $\endgroup$ – chrisaycock Nov 15 '13 at 14:49
  • $\begingroup$ 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 $\endgroup$ – Sai Nov 16 '13 at 3:46
  • $\begingroup$ 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. $\endgroup$ – muffin1974 Jul 3 '15 at 11:40

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.