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
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