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The Journal of Portfolio Management

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Primary Article

Higher-Moment Portfolio Theory

Yannick Malevergne and Didier Sornette
The Journal of Portfolio Management Summer 2005, 31 (4) 49-55; DOI: https://doi.org/10.3905/jpm.2005.570150
Yannick Malevergne
An assistant professor of finance at ISFA Graduate School of Actuarial Science—University of Lyon and associate professor of finance at EM-Lyon Graduate School of Management in Ecully, France.
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  • For correspondence: malevergne@univ-lyon1.fr
Didier Sornette
A professor in earth and space sciences at the Institute of Geophysics and Planetary Physics at UCLA and a CNRS research director at the University of Nice in France.
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  • For correspondence: sornette@unice.fr
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Abstract

A new portfolio theory takes into account the non-Gaussian properties of asset returns. The non-Gaussian properties of a portfolio are quantified by the so-called moments and cumulants of its distribution of returns. Generalizing the concept of efficient frontiers, the non-Gaussian efficient frontier depends on the chosen risk measure, corresponding to different orders or combinations of centered moments or cumulants. These extended formulas let investors analyze the conditions under which it is possible to have one's cake and eat it too, in order to construct a portfolio with both higher return and fewer major risks.

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The Journal of Portfolio Management
Vol. 31, Issue 4
Summer 2005
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Higher-Moment Portfolio Theory
Yannick Malevergne, Didier Sornette
The Journal of Portfolio Management Jul 2005, 31 (4) 49-55; DOI: 10.3905/jpm.2005.570150

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Higher-Moment Portfolio Theory
Yannick Malevergne, Didier Sornette
The Journal of Portfolio Management Jul 2005, 31 (4) 49-55; DOI: 10.3905/jpm.2005.570150
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