文章基本信息

标题：Sustainable Portfolio Optimization with Higher-Order Moments of Risk
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作者：Kanwal Iqbal Khan ; Syed M. Waqar Azeem Naqvi ; Muhammad Mudassar Ghafoor 等
期刊名称：Sustainability
印刷版ISSN：2071-1050
出版年度：2020
卷号：12
期号：5
页码：2006
DOI：10.3390/su12052006
语种：English
出版社：MDPI, Open Access Journal
摘要：Sustainable economic growth and development of stock market plays an important role in diversifying the investment opportunities that can be assessed accordingly. However, a true diversification in portfolio is impossible without inclusion of higher-order moments, skewness and kurtosis. However, the risk-taking behavior of investors is modelled with the help of higher-order moments of risk. Therefore, this study is intended to construct optimal portfolios and efficient frontiers with the inclusion of higher-order moments of risk. The findings show that optimized portfolios with inclusion of skewness and kurtosis are sustainable and significantly different than those from mean-variance optimized portfolios which show asymmetric and fat-tail risk. Results further confirm its significance in balancing the additional risk dimensions and returns in Asian emerging stock markets for sustainable returns. The results also endorse that induction of skewness and kurtosis affects portfolio allocation weights and expected returns. Therefore, this study strongly recommends the inclusion of higher moments of risk for optimization to curtail their effect and sub-optimal decisions.