Proceedings of 3rd Global Accounting, Finance and Economics Conference
5 - 7 May, 2013, Rydges Melbourne, Australia, ISBN: 978-1-922069-23-8
Portfolio Risk Management with Higher Moments: Evidence
from International Stock Markets
K. Saranya and P. Krishna Prasanna
The purpose of this paper is to investigate the impact of including
higher moments in the estimation of the risks in the process of
international portfolio diversification. The study is based on the
sample of 33 globally traded stock market indices which include
emerging as well as developed markets for the period 2000-2012.
The portfolio optimization is solved by using genetic algorithm.
Empirical results demonstrate that the higher moment’s model
outperforms the traditional mean variance model across the time
period.
Keywords: Portfolio optimization. skewness. Kurtosis. Global indices. Genetic
algorithm. Portfolio performance
*k. saranya, Research Scholar, Department of Management Studies,
Indian Institute of Technology Madras, saranya.kshatriya@gmail.com
**Dr. P. Krishna Prasanna, Assistant Professor, Department of Management Studies,
Indian Institute of Technology Madras, pkp@iitm.ac.in
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