{"title":"均值-方差投资组合理论与非高斯收益的调和","authors":"Nathan Lassance","doi":"10.2139/ssrn.3664049","DOIUrl":null,"url":null,"abstract":"Abstract Mean-variance portfolio theory remains frequently used as an investment rationale because of its simplicity, its closed-form solution, and the availability of well-performing robust estimators. At the same time, it is also frequently rejected on the grounds that it ignores the higher moments of non-Gaussian returns. However, higher-moment portfolios are associated with many different objective functions, are numerically more complex, and exacerbate estimation risk. In this paper, we reconcile mean-variance portfolio theory with non-Gaussian returns by identifying, among all portfolios on the mean-variance efficient frontier, the one that optimizes a chosen higher-moment criterion. Numerical simulations and an empirical analysis show, for three higher-moment objective functions and adjusting for transaction costs, that the proposed portfolio strikes a favorable tradeoff between specification and estimation error. Specifically, in terms of out-of-sample Sharpe ratio and higher moments, it outperforms the global-optimal portfolio, and also the global-minimum-variance portfolio except when using monthly returns for which estimation error is more prominent.","PeriodicalId":18891,"journal":{"name":"Mutual Funds","volume":"4 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2021-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"3","resultStr":"{\"title\":\"Reconciling mean-variance portfolio theory with non-Gaussian returns\",\"authors\":\"Nathan Lassance\",\"doi\":\"10.2139/ssrn.3664049\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Abstract Mean-variance portfolio theory remains frequently used as an investment rationale because of its simplicity, its closed-form solution, and the availability of well-performing robust estimators. At the same time, it is also frequently rejected on the grounds that it ignores the higher moments of non-Gaussian returns. However, higher-moment portfolios are associated with many different objective functions, are numerically more complex, and exacerbate estimation risk. In this paper, we reconcile mean-variance portfolio theory with non-Gaussian returns by identifying, among all portfolios on the mean-variance efficient frontier, the one that optimizes a chosen higher-moment criterion. Numerical simulations and an empirical analysis show, for three higher-moment objective functions and adjusting for transaction costs, that the proposed portfolio strikes a favorable tradeoff between specification and estimation error. Specifically, in terms of out-of-sample Sharpe ratio and higher moments, it outperforms the global-optimal portfolio, and also the global-minimum-variance portfolio except when using monthly returns for which estimation error is more prominent.\",\"PeriodicalId\":18891,\"journal\":{\"name\":\"Mutual Funds\",\"volume\":\"4 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-06-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"3\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Mutual Funds\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3664049\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Mutual Funds","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3664049","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Reconciling mean-variance portfolio theory with non-Gaussian returns
Abstract Mean-variance portfolio theory remains frequently used as an investment rationale because of its simplicity, its closed-form solution, and the availability of well-performing robust estimators. At the same time, it is also frequently rejected on the grounds that it ignores the higher moments of non-Gaussian returns. However, higher-moment portfolios are associated with many different objective functions, are numerically more complex, and exacerbate estimation risk. In this paper, we reconcile mean-variance portfolio theory with non-Gaussian returns by identifying, among all portfolios on the mean-variance efficient frontier, the one that optimizes a chosen higher-moment criterion. Numerical simulations and an empirical analysis show, for three higher-moment objective functions and adjusting for transaction costs, that the proposed portfolio strikes a favorable tradeoff between specification and estimation error. Specifically, in terms of out-of-sample Sharpe ratio and higher moments, it outperforms the global-optimal portfolio, and also the global-minimum-variance portfolio except when using monthly returns for which estimation error is more prominent.