Krüger, Jens J. (2021)
Nonparametric portfolio efficiency measurement with higher moments.
In: Empirical Economics : Journal of the Institute for Advanced Studies, Vienna, Austria, 61 (3)
doi: 10.1007/s00181-020-01917-0
Artikel, Bibliographie
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Kurzbeschreibung (Abstract)
The paper considers a nonparametric approach to determine portfolio efficiency using specific directions toward the portfolio frontier function. This approach allows for a straightforward incorporation of higher moments of the returns distribution beyond mean and variance. The nonparametric approach is extended by the computation of optimal directions endogenously by maximizing the distance toward the portfolio frontier as a novel methodological feature. An empirical application to Fama–French portfolios demonstrates the applicability of the nonparametric approach. The results show that the optimal directions to the frontier depend on the portfolio considered as well as on the period for which the moments are estimated. Skewness in particular plays a role in determining the optimal direction, whereas kurtosis seems to be less crucial.
| Typ des Eintrags: | Artikel |
|---|---|
| Erschienen: | 2021 |
| Autor(en): | Krüger, Jens J. |
| Art des Eintrags: | Bibliographie |
| Titel: | Nonparametric portfolio efficiency measurement with higher moments |
| Sprache: | Englisch |
| Publikationsjahr: | 2021 |
| Ort: | Berlin ; Heidelberg |
| Verlag: | Springer |
| Titel der Zeitschrift, Zeitung oder Schriftenreihe: | Empirical Economics : Journal of the Institute for Advanced Studies, Vienna, Austria |
| Jahrgang/Volume einer Zeitschrift: | 61 |
| (Heft-)Nummer: | 3 |
| DOI: | 10.1007/s00181-020-01917-0 |
| URL / URN: | https://link.springer.com/article/10.1007/s00181-020-01917-0 |
| Zugehörige Links: | |
| Kurzbeschreibung (Abstract): | The paper considers a nonparametric approach to determine portfolio efficiency using specific directions toward the portfolio frontier function. This approach allows for a straightforward incorporation of higher moments of the returns distribution beyond mean and variance. The nonparametric approach is extended by the computation of optimal directions endogenously by maximizing the distance toward the portfolio frontier as a novel methodological feature. An empirical application to Fama–French portfolios demonstrates the applicability of the nonparametric approach. The results show that the optimal directions to the frontier depend on the portfolio considered as well as on the period for which the moments are estimated. Skewness in particular plays a role in determining the optimal direction, whereas kurtosis seems to be less crucial. |
| Freie Schlagworte: | Finance, Portfolio choice, Directional distance functions, Skewness and kurtosis |
| Zusätzliche Informationen: | JEL Classification: G11 · C14 |
| Fachbereich(e)/-gebiet(e): | 01 Fachbereich Rechts- und Wirtschaftswissenschaften 01 Fachbereich Rechts- und Wirtschaftswissenschaften > Volkswirtschaftliche Fachgebiete 01 Fachbereich Rechts- und Wirtschaftswissenschaften > Volkswirtschaftliche Fachgebiete > Fachgebiet Empirische Wirtschaftsforschung |
| Hinterlegungsdatum: | 08 Feb 2022 16:27 |
| Letzte Änderung: | 19 Jul 2024 07:37 |
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Nonparametric portfolio efficiency measurement with higher moments. (deposited 08 Apr 2024 12:37)
- Nonparametric portfolio efficiency measurement with higher moments. (deposited 08 Feb 2022 16:27) [Gegenwärtig angezeigt]
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