- Why EDHEC
- All programmes
- Executive Education
- Research and Innovation
-
Companies and careers
Working with and for companiesThe company is the focal point of EDHEC’s plan, and its reason for being.
- EDHEC Experience
Improved Forecasts of Higher-Order Co-moments and Implications for Portfolio Selection
In the presence of non-normally distributed asset returns, optimal portfolio selection techniques require not only estimates of variance-covariance parameters, but also estimates of higher-order moments and comoments of the return distribution.
Author(s) :
Professor of Finance and Scientific Director of the EDHEC Risk and Asset Management Research Centre
PhD, Research Engineer at the EDHEC Risk and Asset Management Research Centre
Presentation :
This paper expands on existing literature, which has focused mostly on the covariance matrix, by introducing improved estimators for the coskewness and cokurtosis parameters. In an empirical analysis, we find that the use of these enhanced estimates leads to significantly better out-of-sample performance.| Type : | Working paper |
|---|---|
| Date : | le 29/11/2007 |
| Extra information : | Pour plus d'informations, nous vous prions de vous adresser à Joanne Finlay, Direction de la recherche de l'EDHEC [ joanne.finlay@edhec.edu] Les opinions exprimées sont celles de l'auteur et n'engagent pas la responsabilité de l'EDHEC. |
| Research Cluster : | Finance |
See Also
About EDHEC
Located in Lille, Nice, Paris, London and Singapore, EDHEC is one of the 20 best business schools in the world. Resolutely international and directly connected to the world of business, it is known for the excellence of its research and its capacity to train entrepreneurs and managers able to move the lines.
A true laboratory of ideas, it produces innovative solutions recognized by companies.
Her research is irrigating her teaching based on "build people to build business" and "learning by doing".
