Dynamic core-satellite investing using higher order moments: an explicit solution
给出了在投资者使用三阶和四阶期望效用函数展开时，核心-卫星投资策略的显式解，并通过数值例子和ETF数据验证了考虑高阶矩能改善组合绩效。
The goal of core-satellite investing is to optimally balance the portfolio allocation between a core and satellite investment. This paper provides an explicit solution when the investor's optimality criterion is the third-order and fourth-order expansion of the expected utility function, respectively. Based on a numeric example, we document the sensitivity of the proposed weights to coskewness and cokurtosis components. Finally, we use ETFs to examine the portfolio performance of the core-satellite strategy with higher order moments. We document that integrating the higher order moment in core-satellite investing can improve the financial performance of a portfolio.