| Title: |
Nonparametric portfolio efficiency measurement with higher moments. |
| Authors: |
Krüger, Jens J.1 (AUTHOR) krueger@vwl.tu-darmstadt.de |
| Source: |
Empirical Economics. Sep2021, Vol. 61 Issue 3, p1435-1459. 25p. 2 Charts, 5 Graphs. |
| Subject Terms: |
*Kurtosis |
| 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. [ABSTRACT FROM AUTHOR] |
|
Copyright of Empirical Economics is the property of Springer Nature and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) |
| Database: |
Business Source Complete |
