Portfolio Optimization With Investor Utility Preference of Higher-Order Moments: A Behavioral Approach

Stelios Bekiros, Nikolaos Loukeris and Iordanis Eleftheriadis

Review of Behavioral Economics, 2017, vol. 4, issue 2, 83-106

Abstract: We incorporate advanced higher moments of individual or institutional investors in a new approach dealing with the portfolio selection problem, formulated under a multi-criteria optimization framework. The “integrated portfolio intelligence†model extracts hidden patterns out of company fundamental indices and filters out effects such as trader noise or fraud utilizing advanced big data machine learning modeling. One of the main advantages of this novel system aside from providing with computer-efficient algorithmic optimality and predictive out performance is that it detects and extracts hidden trader behavioral patterns and firm investment “styles†from the data sets of large-scale institutional portfolios, which ultimately leads to the aversion and protection of extensive market manipulation and speculation.

Keywords: Utility preference; Support Vector Machines; Genetic Evolution (search for similar items in EconPapers)
JEL-codes: C32 C58 G10 G17 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (3)

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