On the Spectral Decomposition of Portfolio Skewness and its Application to Portfolio Optimization
A new risk measure, negative quadratic skewness, is introduced to increase portfolio skewness, providing a portfolio optimization model akin to the Markowitz model.
Featured in No. 12 on 17 Aug 2023 · 3 days after release · 0 citations today
- Released
- 14 Aug 2023
- First featured
- No. 12 · 17 Aug 2023
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- SSRN 4540021
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