Dynamic portfolio selection with higher moments risk based on polynomial goal programming

Proceedings of 2007 International Conference on Management Science and Engineering, ICMSE'07 (14th)

Volumn , Issue , 2007, Pages 2152-2157

  Xu, Qi Fa ^a   Jiang, Cui Xia ^a   Kang, Pu ^b  

^a SHANDONG INSTITUTE OF BUSINESS AND TECHNOLOGY   (China)

^b BEIJING JIAOTONG UNIVERSITY   (China)

Author keywords

Dynamic portfolio; Higher moments; MGARCHSK model; Polynomial goal programming

Indexed keywords

DYNAMIC PROGRAMMING; INDEPENDENT COMPONENT ANALYSIS; POLYNOMIALS; TIME VARYING SYSTEMS;

DYNAMIC PORTFOLIO; MGARCHSK MODEL; POLYNOMIAL GOAL PROGRAMMING;

RISK ANALYSIS;

EID: 43549104690     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/ICMSE.2007.4422158     Document Type: Conference Paper

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