Some connections between higher moments portfolio optimization methods
Computational Engineering, Finance, and Science
2022-01-04 v1 Portfolio Management
Abstract
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
Cite
@article{arxiv.2201.00205,
title = {Some connections between higher moments portfolio optimization methods},
author = {Farshad Noravesh and Kristiaan Kerstens},
journal= {arXiv preprint arXiv:2201.00205},
year = {2022}
}