Ways of finding a maximum skewness portfolio, with given return, variance and kurtosis, are presented. The methods take …

In standard static Mean-Variance approach portfolio is presented by one allocation vector optimized in terms of … expected returns & variance-covariance (VcV) matrix. Such one-dimensional approach is not suitable for Fixed Income: i …

In a traditional mean-variance approach a portfolio is represented by the allocation vector optimized in terms of … space by the strategy specified risk-dimensions leads to a multi-dimensional mean-variance efficient surface, the efficient …

. Volatility is studied both at the industry level (for 34 different industries from 1974-2003) and at the firm level (for 5 … mixed. A relationship between innovation and volatility emerges most strongly with firm level data, when firm dimension is … accounted for, and when time varying volatility is explicitly studied via GARCH analysis. The latter highlights the distinctive …

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular …