Mean-variance-skewness-kurtosis-based portfolio optimization

First International Multi- Symposiums on Computer and Computational Sciences, IMSCCS'06

Volumn 2, Issue , 2006, Pages 292-297

  Lai, Kin Keung ^a,b   Yu, Lean ^c   Wang, Shouyang ^c  

^a HUNAN UNIVERSITY   (China)

^b CITY UNIVERSITY OF HONG KONG   (Hong Kong)

^c INSTITUTE OF SYSTEMS SCIENCE   (China)

Author keywords

[No Author keywords available]

Indexed keywords

KURTOSIS; POLYNOMIAL GOAL PROGRAMMING (PGP); SKEWNESS; STOCK INDICES; VARIANCE;

MATHEMATICAL MODELS; MATHEMATICAL PROGRAMMING; OPTIMIZATION; RISK MANAGEMENT; STATISTICAL METHODS;

FINANCIAL DATA PROCESSING;

EID: 33845592337     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/IMSCCS.2006.252     Document Type: Conference Paper

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