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首页> 外文会议>International Conference on Management Science Engineering >Dynamic Portfolio Selection with Higher Moments Risk Based on Polynomial Goal Programming
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Dynamic Portfolio Selection with Higher Moments Risk Based on Polynomial Goal Programming

机译：基于多项式目标规划的高矩风险动态投资组合选择

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摘要

In the presence of higher moments risk,the portfolio selection entails considering competing and conflicting objectives, such as both its expected returns and skewness, and minimizing its variance and kurtosis.At the same time, due to time-varying of higher moments risk, it is necessary to consider dynamic higher moments risk measurement. This article discusses multivariate GARCHSK model based on independent component analysis in the first place. Then we propose a dynamic portfolio selction model with higher moments risk by incorporating the multiple conflicting objectives into a polynomial goal programming prolem, where investor’s preferences can be designed freely. In the end, empirical analysis is conducted on international stock markets.
机译：在存在较高矩风险的情况下，投资组合选择需要考虑相互竞争和冲突的目标（例如其预期收益和偏度），并将其方差和峰度最小化。是考虑动态高力矩风险度量的必要条件。本文首先讨论基于独立成分分析的多元GARCHSK模型。然后，我们通过将多个相互冲突的目标合并到多项式目标规划问题中，提出了一种具有较高矩风险的动态投资组合选择模型，在该模型中可以自由设计投资者的偏好。最后，对国际股票市场进行了实证分析。

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