Optimal portfolio allocation with higher moments

被引：38

作者：

Cvitanié J. ^{[1
]}

Polimenis V. ^{[2
]}

Zapatero F. ^{[3
]}

机构：

[1] Caltech, Division of Humanities and Social Sciences, Pasadena, CA 91125

[2] A. Gary Anderson Graduate School of Business, University of California at Riverside, Riverside

[3] Marshall School of Business, USC, Los Angeles

来源：

Annals of Finance | 2008年 / 4卷 / 1期

基金：

美国国家科学基金会;

关键词：

Higher moments; Optimal allocation; Pure-jump processes;

D O I：

10.1007/s10436-007-0071-5

中图分类号：

学科分类号：

摘要：

We model the risky asset as driven by a pure jump process, with non-trivial and tractable higher moments. We compute the optimal portfolio strategy of an investor with CRRA utility and study the sensitivity of the investment in the risky asset to the higher moments, as well as the resulting wealth loss from ignoring higher moments. We find that ignoring higher moments can lead to significant overinvestment in risky securities, especially when volatility is high. © Springer-Verlag 2007.

引用

页码：1 / 28

页数：27

共 38 条

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