Details

Autor(en) / Beteiligte

• Qi-Fa Xu
• Cui-Xia Jiang
• Pu Kang

Titel

Dynamic Portfolio Selection Under Higher Moments

Ist Teil von

• 2007 International Conference on Machine Learning and Cybernetics, 2007, Vol.5, p.2488-2493

Ort / Verlag

IEEE

Erscheinungsjahr

2007

Quelle

IEEE Xplore

Beschreibungen/Notizen

• In this paper, two defects in traditional portfolio introduced by Markowitz have been pointed out. Considering the higher moments risk and dynamic condition, the corresponding portfolio method has been inferred by Taylor series expansion of conditional expected utility function. The results show that the optimal dynamic portfolio weights satisfy a nonlinear system of equations, which has been solved based on the genetic algorithm. In the end, empirical analysis is conducted on international stock markets.