Atomic Portfolio Selection: MVSK Utility Optimization of Global Real Estate Securities

Abstract

This research utilizes higher-moment risk-return relationships and portfolio selection strategies. It determines whether higher moments are significantly priced and evaluates time-varying high-moment characteristics of securities. A higher-moment (mean, variance, skewness, kurtosis or MVSK) portfolio selection framework is suggested and performance results are compared with the standard mean-variance (MV) method.

Keywords: co-variance, co-skewness, co-kurtosis, anti-moment, bi-moments, tri-moments, time-varying Kalman Filter