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- W3122425955 abstract "This paper develops a general approach for the single period portfolio optimization problem in a multidimensional general and partial moment space. A shortage function is defined that looks for possible increases in odd moments and decreases in even moments. A main result is that this shortage function ensures suffcient conditions for global optimality. It also forms a natural basis for developing tests on the infuence of additional moments. Furthermore, a link is made with an approximation of an arbitrary order of a general indirectutility function. This nonparametric effciency measurement framework permits to dfferentiate mainly between portfolio effciency and allocative effciency. Finally, information can,in principle, be inferred about the revealed risk aversion, prudence, temperance and otherhigher-order risk characteristics of investors." @default.
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- W3122425955 date "2007-01-01" @default.
- W3122425955 modified "2023-09-27" @default.
- W3122425955 title "Portfolio selection in multidimensional general and partial moment space" @default.
- W3122425955 hasPublicationYear "2007" @default.
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