DocumentCode
1932341
Title
Dynamic Portfolio Selection Under Higher Moments
Author
Xu, Qi-fa ; Jiang, Cui-xia ; Kang, Pu
Author_Institution
Shadong Inst. of Bus. & Technol., Yantai
Volume
5
fYear
2007
fDate
19-22 Aug. 2007
Firstpage
2488
Lastpage
2493
Abstract
In this paper, two defects in traditional portfolio introduced by Markowitz have been pointed out. Considering the higher moments risk and dynamic condition, the corresponding portfolio method has been inferred by Taylor series expansion of conditional expected utility function. The results show that the optimal dynamic portfolio weights satisfy a nonlinear system of equations, which has been solved based on the genetic algorithm. In the end, empirical analysis is conducted on international stock markets.
Keywords
genetic algorithms; investment; stock markets; Taylor series expansion; conditional expected utility function; dynamic portfolio selection; international stock markets; nonlinear system; Conference management; Cybernetics; Genetic algorithms; Machine learning; Nonlinear dynamical systems; Portfolios; Statistics; Taylor series; Technology management; Utility theory; Dynamic portfolio; Genetic algorithm; Higher moments risk; IC-GARCHSK model;
fLanguage
English
Publisher
ieee
Conference_Titel
Machine Learning and Cybernetics, 2007 International Conference on
Conference_Location
Hong Kong
Print_ISBN
978-1-4244-0973-0
Electronic_ISBN
978-1-4244-0973-0
Type
conf
DOI
10.1109/ICMLC.2007.4370565
Filename
4370565
Link To Document