Portfolio Optimization With Investor Utility Preference of Higher-Order Moments: A Behavioral Approach
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KeywordsUtility preference; Support Vector Machines; Genetic Evolution;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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