The first moment and second central moments of the portfolio return, a.k.a. mean and variance, have been widely employed to assess the expected profit and risk of the portfolio. Investors pursue higher mean and lower variance when designing the portfolios. The two moments can well describe the...

The heuristic 1/N (i.e., equally weighted) portfolio and heuristic quintile portfolio are both popular simple strategies in financial investment. In the 1/N portfolio, a fraction of 1/N of the wealth is allocated to each of the N available assets. In the quintile portfolio, first the assets are...