A Maximização da Assimetria na Seleção de Carteiras de Investimento e a Generalização do Modelo para Momentos Ímpares de Ordem Superior

ABSTRACT

This paper presents a general model to portfolio selection based on maximizing a higher-order odd moment when the first two moments are fixed, considering a risk- free asset, and allowing short sales. We deduce geometric properties from their solutions and also propose a generalization to the Markowitz Mean-Variance model by minimizing a higher-order even moment subject to a fixed return.

Keywords:
portfolio selection; higher-order moments; maximizing skewness