Optimal Portfolio Allocation Under Higher Moments
Optimal Portfolio Allocation Under Higher Moments
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DOI：
10.2139/ssrn.498322
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发表时间：
2004-01
期刊：
影响因子：
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通讯作者：
E. Jondeau;M. Rockinger
中科院分区：
文献类型：
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作者：
E. Jondeau;M. Rockinger
我们评估偏离常态如何影响资产配置。泰勒级数展开的预期效用允许专注于某些时刻，并计算数字的最优投资组合分配。这种方法的一个决定性优势是，即使涉及大量资产，它仍然可以运作。我们表明，在中度非正态性的均值-方差准则提供了一个很好的近似的期望效用最大化。相反，在偏离正态性较大的情况下（如成熟市场的某些股票或新兴市场的某些股票指数），均值-方差准则可能无法正确地近似预期效用。在这种情况下，三阶矩或四阶矩优化策略可以提供期望效用的良好近似。
We evaluate how departure from normality may affect the allocation of assets. A Taylor series expansion of the expected utility allows to focus on certain moments and to compute numerically the optimal portfolio allocation. A decisive advantage of this approach is that it remains operational even if a large number of assets is involved. We show that under moderate non-normality the mean-variance criterion provides a good approximation of the expected utility maximization. In contrast, under large departure from normality (as found in some stocks in mature markets or in some stock indices in emerging markets), the mean-variance criterion may fail to approximate the expected utility correctly. In such cases, the three-moment or four-moment optimization strategies may provide a good approximation of the expected utility.