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Unformatted text preview: t like tails that are fat because it
increases the risk of a major loss (high kurtosis)
Generalization of Markowitz Model:
K.K. Lai, L. Yu, and S. Wang (2006)“Mean-Variance-Skewness-Kurtosis-based
Portfolio Optimization", Proceedings of the First International Multi-Symposiums on Computer and
Computational Sciences - Volume 2”, p. 292-296.
M. Anson, H. Ho, and K. Silberstein (2007) “Building a Hedge Fund Portfolio with
Kurtosis and Skewness” Journal of Alternative Investments
Jana, P., T.K. Roy and S.K. Mazumder (2007). “Multi-objective Mean-variance
skewness model for Portfolio OptimizationT, Advanced Modeling and Optimization, 9(1).
K.S. Tan/Actsc 372 F11 Modern Portfolio Theory & CAPM – p. 32 Other Generalizations
Incorporating riskfree asset
one (and N ) risky asset(s) and one riskfree asset (later)
Incorporating other constraints:
short selling constraint
minimum and maximum concentration (on each
asset/sector), minimum average credit quality
integer lot size, transaction costs, taxes
These constraints increase the complexity of...
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- Fall '09