Sie befinden Sich nicht im Netzwerk der Universität Paderborn. Der Zugriff auf elektronische Ressourcen ist gegebenenfalls nur via VPN oder Shibboleth (DFN-AAI) möglich. mehr Informationen...
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.