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Some connections between higher moments portfolio optimization methods

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  • Farshad Noravesh
  • Kristiaan Kerstens

Abstract

In this paper, different approaches to portfolio optimization having higher moments such as skewness and kurtosis are classified so that the reader can observe different paradigms and approaches in this field of research which is essential for practitioners in Hedge Funds in particular. Several methods based on different paradigms such as utility approach and multi-objective optimization are reviewed and the advantage and disadvantageous of these ideas are explained. Keywords: multi-objective optimization, portfolio optimization, scalarization, utility

Suggested Citation

  • Farshad Noravesh & Kristiaan Kerstens, 2022. "Some connections between higher moments portfolio optimization methods," Papers 2201.00205, arXiv.org.
    • Handle: RePEc:arx:papers:2201.00205
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    References listed on IDEAS

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    Keywords

    multi-objective optimization; portfolio optimization; scalarization; utility;
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