Portfolio management with higher moments: the cardinality impact

DOI10.1111/itor.12404MaRDI QIDQ6066673

No author found.

Publication date: 16 November 2023

Published in: International Transactions in Operational Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10316/45744

zbMATH Keywords

portfolio managementcardinalityderivative-free optimizationexpected utility maximizationCRRA preferencesPSI20 index

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Related Items (2)

Using first-order information in direct multisearch for multiobjective optimization ⋮ On the use of polynomial models in multiobjective directional direct search

Cites Work

• Unnamed Item
• Modelling heavy tails and asymmetry using \(ARCH\)-type models with stable Paretian distri\-bu\-tions
• Algorithm for cardinality-constrained quadratic optimization
• Finding a maximum skewness portfolio -- a general solution to three-moments portfolio choice
• Global optimization of higher order moments in portfolio selection
• Heuristics for cardinality constrained portfolio optimization
• Kurtosis of GARCH and stochastic volatility models with non-normal innovations
• Computational study of a family of mixed-integer quadratic programming problems
• Generalized autoregressive conditional heteroscedasticity
• Heuristic algorithms for the cardinality constrained efficient frontier
• Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
• A Lifted Linear Programming Branch-and-Bound Algorithm for Mixed-Integer Conic Quadratic Programs
• Efficient Cardinality/Mean-Variance Portfolios
• Sparse and stable Markowitz portfolios
• Direct Multisearch for Multiobjective Optimization
• A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Portfolio selection with higher moments
• Introduction to Derivative-Free Optimization
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints
• Technical Note—A Robust Perspective on Transaction Costs in Portfolio Optimization
• Threshold heteroskedastic models

This page was built for publication: Portfolio management with higher moments: the cardinality impact