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Predictability of kurtosis and skewness in S&P constituents
How much predictability is there for these higher moments? Data The data consist of daily returns from the start of 2007 through mid 2011 for almost all of the S&P 500 constituents. Estimates were...
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A slice of S&P 500 kurtosis history
How fat tailed are returns, and how does it change over time? Previously The sister post of this one is “A slice of S&P 500 skewness history”. Orientation The word “kurtosis” is a bit weird. The...
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Cross-sectional skewness and kurtosis: stocks and portfolios
Not quite expected behavior of skewness and kurtosis. The question In each time period the returns of a universe of stocks will have some distribution — distributions as displayed in “Replacing market...
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garch and long tails
How much does garch shorten long tails? Previously Pertinent blog posts include: “A practical introduction to garch modeling” “The distribution of financial returns made simple” “Predictability of...
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Four moments of portfolios
What good are the skewness and kurtosis of portfolios? Previously The post “Cross-sectional skewness and kurtosis: stocks and portfolios” looked at skewness and kurtosis in portfolios. The key...
View ArticleThe efficacy of higher moments in portfolio optimization
On Monday I gave a talk at the London Quant Group entitled “Exploring the efficacy of higher moments in portfolio optimisation”. A substantial number of people showed up, and they taught me quite a...
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Further adventures with higher moments
Additional views of the stability of skewness and kurtosis of equity portfolios. Previously A post called “Four moments of portfolios” introduced the idea of looking at the stability of the mean,...
View ArticleThe portfolio optimization higher-moment credo
The question of skewness and kurtosis in portfolio optimization. Previously Problem 4 of “The top 7 portfolio optimization problems” concerns the use of higher moments. “Further adventures with higher...
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