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Effects of skewness and kurtosis on portfolio rankings

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  • Massimo Pierro
  • Jack Mosevich

Abstract

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Suggested Citation

  • Massimo Pierro & Jack Mosevich, 2011. "Effects of skewness and kurtosis on portfolio rankings," Quantitative Finance, Taylor & Francis Journals, vol. 11(10), pages 1449-1453.
    • Handle: RePEc:taf:quantf:v:11:y:2011:i:10:p:1449-1453
    DOI: 10.1080/14697688.2010.495723
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    Cited by:

    1. Xingyu Dai & Dongna Zhang & Chi Keung Marco Lau & Qunwei Wang, 2023. "Multiobjective portfolio optimization: Forecasting and evaluation under investment horizon heterogeneity," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 2167-2196, December.
    2. Kent Smetters & Xingtan Zhang, 2013. "A Sharper Ratio: A General Measure for Correctly Ranking Non-Normal Investment Risks," NBER Working Papers 19500, National Bureau of Economic Research, Inc.
    3. Yan, Jun, 2014. "Estimations and asymptotic behaviors of coherent entropic risk measure for sums of random variables," Statistics & Probability Letters, Elsevier, vol. 91(C), pages 171-180.

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