کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
957887 1478811 2013 22 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Higher order moment risk in efficient futures portfolios
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری استراتژی و مدیریت استراتژیک
پیش نمایش صفحه اول مقاله
Higher order moment risk in efficient futures portfolios
چکیده انگلیسی

This study examined whether mean–variance (M–V) framework helps to efficiently diversify away tail risk due to skewness, kurtosis, and other higher moments. We found that M–V efficient portfolios do not have significant higher moment risk, because the risk measured by the two-moment value-at-risk (VaR) was not significantly different from risk measured by the higher moment VaRs. This result was not caused by the large number of assets included in the portfolio. With only nine assets in the M–V portfolio, about 85% of the diversifiable loss measured by higher moment VaR was diversified away. Furthermore, with less than nine assets in M–V efficient portfolios, the M–V technique diversified away the higher moment risk even more efficiently than did volatility.


► M–V efficient portfolios do not have significant higher moment risk.
► The risk measured by the two-moment value-at-risk (VaR) was not significantly different from risk measured by the higher moment VaR.
► This result is not caused by the large number of assets included in the portfolio.
► Portfolio manager are better off using M–V technique than employing complicated techniques to control higher moment risk.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economics and Business - Volume 65, January–February 2013, Pages 33–54
نویسندگان
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