Diversification and the Distribution of Portfolio Variance, Part 1 : Sums of IID Variables and Higher-Order Moments

For a weighted sum of asset returns that are independent and identically distributed (IID) up to variance, we derive expressions linking the distribution of variance across assets with higher-order portfolio moments, assuming these quantities are finite. In particular, we show concise relationships for portfolio skewness and kurtosis and, within a general framework, review related metrics in the literature for measuring diversification

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Year of publication:	2020
Authors:	Fleming, Brian
Other Persons:	Kroeske, Jens (contributor)
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Portfolio-Management \| Portfolio selection \| Theorie \| Theory \| Diversifikation \| Diversification

Extent:	1 Online-Ressource (5 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 17, 2017 erstellt
Other identifiers:	10.2139/ssrn.3094243 [DOI]
Classification:	C10 - Econometric and Statistical Methods: General. General ; C40 - Econometric and Statistical Methods: Special Topics. General ; C49 - Econometric and Statistical Methods: Special Topics. Other ; G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012853193