most citedHigh-order Moment Portfolio Optimization via An Accelerated Difference-of-Convex Programming Approach and Sums-of-Squares

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q-fin.PM2026

Yau's Affine-Normal Descent for Large-Scale Unrestricted Higher-Moment Portfolio Optimization

Ya-Juan Wang, Yi-Shuai Niu, Artan Sheshmani +1

Unrestricted mean-variance-skewness-kurtosis portfolio optimization can capture asymmetry and tail risk, but sample-moment formulations become computationally impractical when the…