Sparse Non-Convex Optimization For Higher Moment Portfolio Management

Farshad Noravesh

Papers from arXiv.org

Abstract: 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 create by making the optimization problem nonconvex. Many few methods and theoretical results exists in the literature, but the present paper uses the method of successive convex approximation for the mean-variance-skewness problem.

Date: 2022-01, Revised 2022-01
New Economics Papers: this item is included in nep-rmg
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