Risk aversion and skewness preference

Optimal Hedging with Higher Moments

“…To make the problem tractable, the literature on optimal investment has in the past opted for parametric distributions of returns (normal in Kalberg and Ziemba, 1979; normal combined with a speci c skewed distribution in Simaan 1993a,b) or else has restricted its attention to the rst four moments in a non-parametric setting (Post et al, 2003;Jondeau and Rockinger, 2006). Our approach, based on Newton's optimization method detailed in Section 2.5, is able to deal with non-parametric distributions of returns and apart from strict concavity it does not impose restrictions on the utility function.…”

Portfolio selection with higher moments

“…Section 4 empirically compares different methods and approaches to portfolio selection. Some concluding remarks are offered in the ySeveral other authors have investigated the importance of higher moments in financial applications, including Campbell et al (2001), Chen et al (2001), Dittmar (2002), Athayde and Flores (2004), Burger and Warnock (2004), Goetzman and Kumar (2004), Jondeau and Rockinger (2004), Levy and Levy (2004), Patton (2004), Adcock (2005), Brunnermeier and Parker (2005), Jurczenko et al (2005), Liew and French (2005), Sfiridis (2005), Ang et al (2006), Bakshi and Madan (2006), Barro (2006), Williams and Ioannidis (2006), Barberis and Huang (2007), Briec et al (2007), Brunnermeier et al (2007), Chiang and Li (2007), Guidolin and Timmermann (2007), Mitton and Vorkink (2007), Martellini and Ziemann (2007), Chabi-Yo (2008a, b), Cvitanic´et al (2008, DeMiguel et al (2009DeMiguel et al ( , 2010, Post et al (2008), Bacmann and Benedetti (2009), Da Silva et al (2009), Hall et al (2009, Knight andSatchell (2009), Mencia andSentana (2009), Morton and Popova (2009), Wilcox and Fabozzi (2009), Zhou (2009, …”

The value of coskewness in mutual fund performance evaluation

“…Bali et al (2008) investigates the role of conditional skewness in the estimation of conditional VaR. Post et al (2008) focuses on the 3MCAPM and the economic meaning of the coskewness premium.…”