Saturday, July 6, 2013

Four Moment Portfolio Theory and Tests



Mean-Variance-Skewness-Kurtosis Portfolio
Optimization with Return and Liquidity
Xiaoxin W. Beardsley, Brian Field and Mingqing Xiao
Communications in Mathematical Finance, vol. 1, no.1, 2012, 13-49
ISSN: 2241 – 1968 (print), 2241 – 195X (online)
Scienpress Ltd, 2012
http://www.scienpress.com/Upload/CMF/Vol%201_1_2.pdf


PORTFOLIO SELECTION WITH HIGHER MOMENTS: A POLYNOMIAL GOAL
PROGRAMMING APPROACH TO ISE–30 INDEX
Gülder KEMALBAY,  C. Murat ÖZKUT and Ceki FRANKO
Ekonometri ve İstatistik Sayı:13 (12. Uluslararası Ekonometri, Yöneylem
Araştırması, İstatistik Sempozyumu Özel Sayısı) 2011 41–61
(Search Google for online document)

No comments:

Post a Comment