Kemalbay, Gulder; Ozkut, C. Murat; Franko, Ceki - In: Istanbul University Econometrics and Statistics e-Journal 13 (2011) 1, pp. 41-61
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...
