DYNAMIC PORTFOLIO SELECTION UNDER HIGHER MOMENTS

摘要：

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.

关键词： Dynamic portfolio Higher moments risk IC-GARCHSK model Genetic algorithm

作者: QI-FA XU CUI-XIA JIANG PU KANG

作者单位: School of Statistics, Shandong Institute of Business and Technology, Yantai 264005, China School of Economics and Management, Beijing Jiaotong University, Beijing 100072, China

会议类型: 国际会议

会议名称: 2007 International Conference on Machine Learning and Cybernetics(IEEE第六届机器学习与控制论国际会议)

会议地点: 香港

会议语种:英文

页码: 2488-2493

在线出版日期: 2007-08-19（万方平台首次上网日期，不代表论文的发表时间）