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cs.CE2022
Sparse Non-Convex Optimization For Higher Moment Portfolio Management
Farshad Noravesh
One of the reasons that higher order moment portfolio optimization methods are not fully used by practitioners in investment decisions is the complexity that these higher moments c…
cs.CE2022
Some connections between higher moments portfolio optimization methods
Farshad Noravesh, Kristiaan Kerstens
In this paper, different approaches to portfolio optimization having higher moments such as skewness and kurtosis are classified so that the reader can observe different paradigms…