The portfolio optimization higher-moment credo
The question of skewness and kurtosis in portfolio optimization. Previously [...]
Further adventures with higher moments
Additional views of the stability of skewness and kurtosis of [...]
The efficacy of higher moments in portfolio optimization
On Monday I gave a talk at the London Quant [...]
Four moments of portfolios
What good are the skewness and kurtosis of portfolios? Previously [...]
garch and long tails
How much does garch shorten long tails? Previously Pertinent blog [...]
Cross-sectional skewness and kurtosis: stocks and portfolios
Not quite expected behavior of skewness and kurtosis. The question [...]
A slice of S&P 500 kurtosis history
How fat tailed are returns, and how does it change [...]
Predictability of kurtosis and skewness in S&P constituents
How much predictability is there for these higher moments? Data [...]