Gainers and losers with higher order portfolio risk optimization

DOI10.1016/j.physa.2020.125416OpenAlexW3093044481MaRDI QIDQ2165668

Usman Ayub, Saira Ashfaq, Naveed Raza, Ghulam Mujtaba, Saqib Gulzar

Publication date: 22 August 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2020.125416

zbMATH Keywords

stock marketportfolio diversificationfinancial integrationBRICSpolynomial goal programmingmean-variance-skewness-kurtosis framework

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

• Finding a maximum skewness portfolio -- a general solution to three-moments portfolio choice
• Portfolio optimization by a bivariate functional of the mean and variance
• Portfolio selection with higher moments

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