Search Results - subject:"Polynomial Goal Programming"

Hedging longevity risk under non-Gaussian state-space stochastic mortality models : a mean-variance-skewness-kurtosis approach

Li, Johnny Siu-Hang; Liu, Yanxin; Chan, Wai-Sum - In: Insurance / Mathematics & economics 113 (2023), pp. 96-121

Persistent link: https://www.econbiz.de/10014466206

Skewness, cryptocurrency, and peer-to-peer loans : an asset allocation exercise for a unique student-managed fund

Livingston, Lynda S. - In: Business education & accreditation : BEA 11 (2019) 1, pp. 29-50

Persistent link: https://www.econbiz.de/10012163674

Portfolio Selection with Higher Moments and Application on Zagreb Stock Exchange

Škrinjariæ, Tihana - In: Zagreb International Review of Economics and Business 16 (2013) 1, pp. 65-78

The Modern Portfolio Theory (MPT) has started a revolution in academic and investors’ circles since 1950s. In spite of the popularity of Markowitz’s portfolio selection, many critiques have been emerging throughout the years. One of them is the non normality of empirical return...

Persistent link: https://www.econbiz.de/10010676171

Are Smart Beta strategies suitable for hedge fund portfolios?

Hitaj, Asmerilda; Zambruno, Giovanni - In: Review of financial economics : RFE 29 (2016), pp. 37-51

Persistent link: https://www.econbiz.de/10011579742

Polynomial goal programming and the implicit higher moment preferences of US institutional investors in hedge funds

Proelss, Juliane; Schweizer, Denis - In: Financial markets and portfolio management 28 (2014) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10010249662

Polynomial goal programming and the implicit higher moment preferences of US institutional investors in hedge funds

Proelss, Juliane; Schweizer, Denis - In: Financial Markets and Portfolio Management 28 (2014) 1, pp. 1-28

Polynomial goal programming (PGP) is a flexible method that allows investor preferences for different moments of the …

Persistent link: https://www.econbiz.de/10010987745

Portfolio selection with higher moments and application on Zagreb Stock Exchange

Škrinjaric, Tihana - In: Zagreb international review of economics & business 16 (2013) 1, pp. 65-78

Persistent link: https://www.econbiz.de/10010258935

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

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

and skewness, and minimizing risk and kurtosis, simultaneously. By constructing polynomial goal programming, in which …

Persistent link: https://www.econbiz.de/10009141338

Value-at-Risk Efficient Portfolio Selection Using Goal Programming

Chen, Hsin-Hung - In: Review of Pacific Basin Financial Markets and Policies … 11 (2008) 02, pp. 187-200

The purpose of this study is to apply polynomial goal programming to establish a new portfolio selection model that …

Persistent link: https://www.econbiz.de/10005080731

Optimal investments in volatility

Hafner, Reinhold; Wallmeier, Martin - In: Financial Markets and Portfolio Management 22 (2008) 2, pp. 147-167

Persistent link: https://www.econbiz.de/10005810939