Portfolio Selection with Higher Moments: A Polynomial Goal Programming Approach to ISE-30 Index
AbstractThe 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.
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Bibliographic InfoArticle provided by Department of Econometrics, Faculty of Economics, Istanbul University in its journal Istanbul University Econometrics and Statistics e-Journal.
Volume (Year): 13 (2011)
Issue (Month): 1 (Special Issue of 12th International Symposium on Econommetrics, Operation Research and Statistics)
Mean-Variance-Skewness-Kurtosis Portfolio Model; Polynomial Goal Programming; Risk Preference.;
Find related papers by JEL classification:
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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