EconPapers    
Economics at your fingertips  
 

Portfolio Selection with Higher Moments: A Polynomial Goal Programming Approach to ISE-30 Index

Gulder Kemalbay (), C. Murat Ozkut () and Ceki Franko ()
Additional contact information
Gulder Kemalbay: Yildiz Teknik University
C. Murat Ozkut: Izmir University of Economics
Ceki Franko: Izmir University of Economics

Istanbul University Econometrics and Statistics e-Journal, 2011, vol. 13, issue 1, 41-61

Abstract: The aim of this paper is to propose a portfolio selection model which takes into account the investors preferences for higher return moments such as skewness and kurtosis. In the presence of skewness and kurtosis, the portfolio selection problem can be characterized with multiple conflicting and competing objective functions such as maximizing expected return and skewness, and minimizing risk and kurtosis, simultaneously. By constructing polynomial goal programming, in which investor preferences for skewness and kurtosis incorporated, a Turkish Stock Market example will be presented for the period from January 2005 to December 2010.

Keywords: Mean-Variance-Skewness-Kurtosis Portfolio Model; Polynomial Goal Programming; Risk Preference. (search for similar items in EconPapers)
JEL-codes: C44 G11 (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://eidergisi.istanbul.edu.tr/sayi13/iueis13m3.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ist:ancoec:v:13:y:2011:i:1:p:41-61

Access Statistics for this article

More articles in Istanbul University Econometrics and Statistics e-Journal from Department of Econometrics, Faculty of Economics, Istanbul University Contact information at EDIRC.
Series data maintained by Kutluk Kagan Sumer ().

 
Page updated 2017-09-29
Handle: RePEc:ist:ancoec:v:13:y:2011:i:1:p:41-61