Hey,
What is the practical, real world implication of skewness and kurtosis not being considered or accounted for within an MVO analysis?
Regards,
There are other models that account for those metrics like Value at Risk Model (VaR). It calculates the loss that the portfolio could bear given a specified probability in a specified period of time.
This model implicitly is taking into account how fat and how skewed is the left tail of the returns distribution.