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Sparse Non-Convex Optimization For Higher Moment Portfolio Management

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  • Farshad Noravesh

Abstract

One of the reasons that higher order moment portfolio optimization methods are not fully used by practitioners in investment decisions is the complexity that these higher moments create by making the optimization problem nonconvex. Many few methods and theoretical results exists in the literature, but the present paper uses the method of successive convex approximation for the mean-variance-skewness problem.

Suggested Citation

  • Farshad Noravesh, 2022. "Sparse Non-Convex Optimization For Higher Moment Portfolio Management," Papers 2201.01227, arXiv.org, revised Jan 2022.
    • Handle: RePEc:arx:papers:2201.01227
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    References listed on IDEAS

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    1. Kremer, Philipp J. & Lee, Sangkyun & Bogdan, Małgorzata & Paterlini, Sandra, 2020. "Sparse portfolio selection via the sorted ℓ1-Norm," Journal of Banking & Finance, Elsevier, vol. 110(C).
    2. Yongjae Lee & Min Jeong Kim & Jang Ho Kim & Ju Ri Jang & Woo Chang Kim, 2020. "Sparse and robust portfolio selection via semi-definite relaxation," Journal of the Operational Research Society, Taylor & Francis Journals, vol. 71(5), pages 687-699, May.
    3. Michael Ho & Zheng Sun & Jack Xin, 2015. "Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation," Papers 1502.01658, arXiv.org, revised Oct 2015.
    4. Jianqing Fan & Jingjin Zhang & Ke Yu, 2012. "Vast Portfolio Selection With Gross-Exposure Constraints," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 107(498), pages 592-606, June.
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