A unified view on the optimal solutions to the threemoments portfolio problem

dc.contributorEscolas::EPGE
dc.creatorAthayde, Gustavo M. de
dc.creatorFlôres Junior, Renato Galvão
dc.date.accessioned2022-10-06T12:25:20Z
dc.date.accessioned2022-11-03T19:49:19Z
dc.date.available2022-10-06T12:25:20Z
dc.date.available2022-11-03T19:49:19Z
dc.date.created2022-10-06T12:25:20Z
dc.date.issued2022-09
dc.identifierISSN 0104-8910
dc.identifierhttps://hdl.handle.net/10438/32760
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/5029615
dc.description.abstractThis paper brings new results and deeper insights in characterizing the set of solutions to the portfolio selection problem for n risky assets and a riskless one, considering the three first moments and allowing short sales. We examine the three versions associated with this model and find a synthetic equation valid for all of them. With the help of the duality condition linking the optimization problems involved, we are able to introduce the idea of the fundamental equation. This unifying approach sheds light on the understanding of a global efficient frontier in the three-moments model and opens the door to further developments.
dc.languageeng
dc.publisherEscola de Pós-Graduação em Economia da FGV
dc.relationEnsaios Econômicos;829
dc.subjectLagrangian
dc.subjectThree-moments portfolio problem
dc.subjectAlgebraic sets
dc.subjectDuality
dc.subjectFundamental equation
dc.subjectLagrangeana
dc.subjectConjuntos algébricos
dc.subjectDualidade
dc.subjectEquação fundamental
dc.subjectProblema de portfólio de três momentos
dc.titleA unified view on the optimal solutions to the threemoments portfolio problem
dc.typeWorking Paper


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