Optimal portfolio selection in the presence of non-normally distributed asset returns

Research by Edhec shows that implementing hedge fund portfolio selection with higher-order moments can be achieved through suitable extensions of various statistical techniques.


In the presence of non-normally distributed asset returns, optimal portfolio selection techniques require estimates for variance-co-variance parameters along with estimates for higher-order moments and co-moments of the return distribution.

This is a formidable challenge that severely exacerbates the dimensionality problem already present with mean variance analysis.

Recent research*1 extends the existing academic literature, mostly focusing on the co-variance matrix by introducing improved

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here