Sustainable Portfolio Optimization with Higher-Order Moments of Risk
نویسندگان
چکیده
منابع مشابه
Global optimization of higher order moments in portfolio selection
We discuss the global optimization of the higher order moments of a portfolio of financial assets. The proposed model is an extension of the celebrated mean variance model of Markowitz. Asset returns typically exhibit excess kurtosis and are often skewed. Moreover investors would prefer positive skewness and try to reduce kurtosis of their portfolio returns. Therefore the mean variance model (a...
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We propose a method for optimal portfolio selection using a Bayesian decision theoretic framework that addresses two major shortcomings of the Markowitz approach: the ability to handle higher moments and estimation error. We employ the skew normal distribution which has many attractive features for modeling multivariate returns. Our results suggest that it is important to incorporate higher ord...
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In the mean-variance-skewness-kurtosis framework, this paper discusses an uncertain higher-order moment portfolio selection problem when security returns are given by experts’ evaluations. Based on uncertainty theory and the assumption that the security returns are zigzag uncertain variables, an uncertain multi-objective portfolio optimization model is proposed by considering the maximization o...
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ژورنال
عنوان ژورنال: Sustainability
سال: 2020
ISSN: 2071-1050
DOI: 10.3390/su12052006