publication . Master thesis . 2017

Higher-moment portfolios with practical constraints based on Polynomial goal programming

Carlenius, Jens Gautefall; Chen, Vis;
Open Access English
  • Published: 01 Jan 2017
  • Country: Norway
This thesis contributes to the field of portfolio selection by constructing and analyzing the impact of incorporating higher-moments by Polynomial goal programming. We construct the mean-variance-skewness and the mean-variance-skewness-kurtosis portfolio over a 20-year horizon using 29 stocks from the S&P Global 1200-index. We examine the performance of higher-moment portfolios in terms of return, risk and allocation, compared to two benchmark portfolios; the traditional Markowitz portfolio and the global minimum variance portfolio. Our findings suggest that an investor obtains a higher return and risk-adjusted return by incorporating skewness into the mean-vari...
free text keywords: finance
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Master thesis . 2017
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