Please use this identifier to cite or link to this item:
https://hdl.handle.net/10316/45744
DC Field | Value | Language |
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dc.contributor.author | Brito, Rui Pedro | - |
dc.contributor.author | Sebastião, Hélder | - |
dc.contributor.author | Godinho, Pedro | - |
dc.date.accessioned | 2018-01-07T00:10:02Z | - |
dc.date.issued | 2017-03-17 | - |
dc.identifier.issn | 0969-6016 | por |
dc.identifier.uri | https://hdl.handle.net/10316/45744 | - |
dc.description.abstract | This paper extends the study of the cardinality impact on portfolio performance, from the traditional mean-variance framework to more general frameworks that include higher moments. For each framework, we propose a biobjective model that allows the investor to explicitly analyze the efficient trade-off between expected utility and cardinality. We applied the proposed methodology to data from the Portuguese Stock Index (PSI20 index). The empirical results show that, in-sample, the certainty equivalent and the Sharpe ratio increase with the cardinality level in all frameworks. The results also suggest that there are no performance gains, in-sample, in terms of certainty equivalent, when higher moments are considered. Out of sample, the turnover increases up to a certain cardinality level, then decreases. For certain cardinality levels, there are gains in terms of out-of-sample certainty equivalent and Sharpe ratio, when skewness and kurtosis are considered. Finally, we check the robustness of these results in a large dataset from the EUROSTOXX50 index. | por |
dc.description.sponsorship | Support for Rui Pedro Brito author was provided by FCT under the scholarship SFRH/BD/94778/2013. | por |
dc.language.iso | eng | por |
dc.publisher | Wiley | por |
dc.rights | embargoedAccess | - |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/ | por |
dc.subject | portfolio management | por |
dc.subject | cardinality | por |
dc.subject | expected utility maximization | por |
dc.subject | CRRA preferences | por |
dc.subject | derivative-free optimization | por |
dc.subject | PSI20 index | por |
dc.title | Portfolio management with higher moments: the cardinality impact | por |
dc.type | article | - |
degois.publication.title | International Transactions in Operational Research | por |
dc.relation.publisherversion | http://dx.doi.org/10.1111/itor.12404 | por |
dc.peerreviewed | yes | por |
dc.identifier.doi | 10.1111/itor.12404. | por |
dc.date.embargo | 2020-01-07T00:10:02Z | - |
uc.controloAutoridade | Sim | - |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
item.openairetype | article | - |
item.cerifentitytype | Publications | - |
item.grantfulltext | open | - |
item.fulltext | Com Texto completo | - |
item.languageiso639-1 | en | - |
crisitem.author.researchunit | CeBER – Centre for Business and Economics Research | - |
crisitem.author.researchunit | Group for Monetary and Financial Studies | - |
crisitem.author.researchunit | CeBER – Centre for Business and Economics Research | - |
crisitem.author.researchunit | CeBER – Centre for Business and Economics Research | - |
crisitem.author.orcid | 0000-0002-7871-7058 | - |
crisitem.author.orcid | 0000-0002-1743-6869 | - |
crisitem.author.orcid | 0000-0003-2247-7101 | - |
Appears in Collections: | I&D CeBER - Artigos em Revistas Internacionais |
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File | Description | Size | Format | |
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hmCard.pdf | 353.77 kB | Adobe PDF | View/Open |
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