A Maximização da Assimetria na Seleção de Carteiras de Investimento e a Generalização do Modelo para Momentos Ímpares de Ordem Superior
DOI:
https://doi.org/10.5540/tcam.2023.024.03.00411Keywords:
seleção de carteiras de investimento, momentos de ordem superior, maximização da assimetriaAbstract
Neste trabalho, apresentamos um modelo geral para selecionar carteiras de investimento a partir da maximização de um momento ímpar de ordem superior quando fixados os dois primeiros momentos, considerando um ativo livre de risco e permitindo vendas a descoberto. Deduzimos propriedades geométricas de suas soluções. Propomos ainda uma generalização ao modelo Média-variância de Markowitz, pela minimização de um momento par de ordem superior sujeita a um retorno fixo.References
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O. Autor, R. G. Flôres Jr., and G. M. Athayde, “The three-moments portfolio choice: deeper results.” Manuscript submitted for publication, 2021.
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