Schiefe in der Portfolioselektion
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Schiefe in der Portfolioselektion
Credit and Capital Markets – Kredit und Kapital, Vol. 41 (2008), Iss. 2 : pp. 197–216
1 Citations (CrossRef)
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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
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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).