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Title: Financial Portfolio Frontiers and Portfolio Performance Measurement in a Non-Parametric Framework from a Mathematical Point of View
Authors: Van de Woestyne, Ignace
Issue Date: 2008
Conference: Colloquium of the Mathematics Department K.U.Leuven location:Leuven date:23 May 2008
Abstract: The seminal work of Markowitz (1952) concerning modern financial portfolio theory balances expected return and risk in a static context. Portfolios whose expected return cannot be improved without increasing the risk are positioned on an efficient frontier. This theory, although widely used, is based on strong assumptions which are not always satisfied in reality. Several approaches have been proposed to overcome some of these shortcomings. One of the possibilities is to include skewness in the model, following the non-parametric approach initiated by Briec et al (2007). In this presentation, we describe this approach from a more mathematical point of view. Moreover, by adding skewness, the efficient frontier can be seen as a surface in 3-space and several techniques for visualizing it can be studied. Such a visualization could help investors in the portfolio composing process.
Publication status: published
KU Leuven publication type: AMa
Appears in Collections:Faculty of Economics and Business (FEB) - miscellaneous
Research Centre for Mathematical Economics, Econometrics and Statistics, Campus Brussels (-)

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