| Autor: |
Morton, David P., Dokov, Steftcho, Popova, Ivilina |
| Zdroj: |
Finance Research Letters; Jan2023, Vol. 51, pN.PAG-N.PAG, 1p |
| Abstrakt: |
Using Bernstein polynomials, we derive moment-based bounding approximations on the expected value of a utility function. We show that optimizing these bounds yields a solution, which is mean–variance (MV) or MV-skewness–kurtosis (MVSK) efficient depending on how many moments are included in the approximation. Practitioners actively managing portfolios may find the approximations useful in their pursuit of designing new trading strategies via asset allocation models based on different utility functions. • Provide two-moment and four-moment Bernstein approximations of expected utility. • Define notion of efficient portfolios using four moments of portfolio return. • Give conditions on utilities so proxy optimization models yield efficient portfolios. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Supplemental Index |
| Externí odkaz: |
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