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An L-Moment Approach for Portfolio Choice under Non-Expected Utility

Author

Listed:
  • Hasan Fallahgoul
  • Loriano Mancini
  • Stoyan Stoyanov

Abstract

We develop and apply a novel semi-parametric estimation method based on L-moments. Unlike conventional moments, L-moments are linear in the data and therefore robust to outliers. The estimation method provides a series expansion that quickly converges to the underlying return distribution and can be used when conventional moments do not exist. An extensive empirical analysis of portfolio choice under non-expected utility demonstrates the effectiveness of our approach. Empirical results show that our method copes well with estimation risk, yields stable portfolio returns, and reaps the information content of moment returns beyond order four.

Suggested Citation

  • Hasan Fallahgoul & Loriano Mancini & Stoyan Stoyanov, 2025. "An L-Moment Approach for Portfolio Choice under Non-Expected Utility," Journal of Financial Econometrics, Oxford University Press, vol. 23(2), pages 297-297.
    • Handle: RePEc:oup:jfinec:v:23:y:2025:i:2:p:297-297.
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    File URL: http://hdl.handle.net/10.1093/jjfinec/nbae027
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    More about this item

    Keywords

    choice under uncertainty; optimal portfolios; generalized disappointment aversion; L-moments;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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