arXiv
Open Access
2022
Some connections between higher moments portfolio optimization methods
Farshad Noravesh
Kristiaan Kerstens
Abstrak
In this paper, different approaches to portfolio optimization having higher moments such as skewness and kurtosis are classified so that the reader can observe different paradigms and approaches in this field of research which is essential for practitioners in Hedge Funds in particular. Several methods based on different paradigms such as utility approach and multi-objective optimization are reviewed and the advantage and disadvantageous of these ideas are explained. Keywords: multi-objective optimization, portfolio optimization, scalarization, utility
Penulis (2)
F
Farshad Noravesh
K
Kristiaan Kerstens
Akses Cepat
Informasi Jurnal
- Tahun Terbit
- 2022
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- en
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- arXiv
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- Open Access ✓