Algorithmic portfolio tilting to harvest higher moment gains

Kris Boudt; Dries Cornilly; Frederiek Van Holle; Joeri Willems

doi:10.1016/j.heliyon.2020.e03516

Algorithmic portfolio tilting to harvest higher moment gains

Kris Boudt
, Dries Cornilly
, Frederiek Van Holle
, Joeri Willems

Research output: Contribution to journal › Article › peer-review

18 Citations (Scopus)

Abstract

Mean-variance-skewness-kurtosis; Non-normality; Portfolio allocation; Tilting; Statistics; Finance; Banking; Econometrics; Operations management; Business; Economics; Information science; Industry

Original language	English
Article number	e03516
Number of pages	8
Journal	Heliyon
Volume	6
Issue number	3
DOIs	https://doi.org/10.1016/j.heliyon.2020.e03516
Publication status	Published - Mar 2020

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title = "Algorithmic portfolio tilting to harvest higher moment gains",

abstract = "Mean-variance-skewness-kurtosis; Non-normality; Portfolio allocation; Tilting; Statistics; Finance; Banking; Econometrics; Operations management; Business; Economics; Information science; Industry",

author = "Kris Boudt and Dries Cornilly and Holle, \{Frederiek Van\} and Joeri Willems",

note = "{\textcopyright} 2020 The Authors.",

year = "2020",

month = mar,

doi = "10.1016/j.heliyon.2020.e03516",

language = "English",

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journal = "Heliyon",

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T1 - Algorithmic portfolio tilting to harvest higher moment gains

AU - Boudt, Kris

AU - Cornilly, Dries

AU - Holle, Frederiek Van

AU - Willems, Joeri

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N2 - Mean-variance-skewness-kurtosis; Non-normality; Portfolio allocation; Tilting; Statistics; Finance; Banking; Econometrics; Operations management; Business; Economics; Information science; Industry

AB - Mean-variance-skewness-kurtosis; Non-normality; Portfolio allocation; Tilting; Statistics; Finance; Banking; Econometrics; Operations management; Business; Economics; Information science; Industry

UR - https://doi.org/10.1016/j.heliyon.2020.e03516

UR - https://www.scopus.com/pages/publications/85080972411

U2 - 10.1016/j.heliyon.2020.e03516

DO - 10.1016/j.heliyon.2020.e03516

M3 - Article

C2 - 32181391

SN - 2405-8440

VL - 6

JO - Heliyon

JF - Heliyon

IS - 3

M1 - e03516

ER -

Algorithmic portfolio tilting to harvest higher moment gains

Abstract

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