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Schiefe in der Portfolioselektion

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Guse, F., Rudolf, M. Schiefe in der Portfolioselektion. Credit and Capital Markets – Kredit und Kapital, 41(2), 197-216. https://doi.org/10.3790/kuk.41.2.197
Guse, Frank and Rudolf, Markus "Schiefe in der Portfolioselektion" Credit and Capital Markets – Kredit und Kapital 41.2, 2008, 197-216. https://doi.org/10.3790/kuk.41.2.197
Guse, Frank/Rudolf, Markus (2008): Schiefe in der Portfolioselektion, in: Credit and Capital Markets – Kredit und Kapital, vol. 41, iss. 2, 197-216, [online] https://doi.org/10.3790/kuk.41.2.197

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Schiefe in der Portfolioselektion

Guse, Frank | Rudolf, Markus

Credit and Capital Markets – Kredit und Kapital, Vol. 41 (2008), Iss. 2 : pp. 197–216

1 Citations (CrossRef)

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Article Details

Author Details

Dr. Frank Guse, WHU – Otto Beisheim School of Management, Dresdner Bank Stiftungslehrstuhl für Finanzwirtschaft, Burgplatz 2, D-56179 Vallendar.

Prof. Dr. Markus Rudolf, WHU – Otto Beisheim School of Management, Dresdner Bank Stiftungslehrstuhl für Finanzwirtschaft, Burgplatz 2, D-56179 Vallendar.

Cited By

  1. Automated portfolio rebalancing: Automatic erosion of investment performance?

    Horn, Matthias

    Oehler, Andreas

    Journal of Asset Management, Vol. 21 (2020), Iss. 6 P.489

    https://doi.org/10.1057/s41260-020-00183-0 [Citations: 18]

Abstract

Lopsided Portfolio Selection

In this Article we have analysed the implications for portfolio optimisation of returns on investment not distributed normally. We have focused our activities on analysing higher moments of distribution of returns and, in particular, on lopsidedness as the third moment of distribution. So, the approach selected for this article represents an immediate continuation of the mean variance selection by Markowitz (1952).