Construct a portfolio p with proportion w in the

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Unformatted text preview: t like tails that are fat because it increases the risk of a major loss (high kurtosis) Generalization of Markowitz Model: K.K. Lai, L. Yu, and S. Wang (2006)“Mean-Variance-Skewness-Kurtosis-based Portfolio Optimization", Proceedings of the First International Multi-Symposiums on Computer and Computational Sciences - Volume 2”, p. 292-296. M. Anson, H. Ho, and K. Silberstein (2007) “Building a Hedge Fund Portfolio with Kurtosis and Skewness” Journal of Alternative Investments Jana, P., T.K. Roy and S.K. Mazumder (2007). “Multi-objective Mean-variance ˇ skewness model for Portfolio OptimizationT, Advanced Modeling and Optimization, 9(1). K.S. Tan/Actsc 372 F11 Modern Portfolio Theory & CAPM – p. 32 Other Generalizations Incorporating riskfree asset one (and N ) risky asset(s) and one riskfree asset (later) Incorporating other constraints: short selling constraint minimum and maximum concentration (on each asset/sector), minimum average credit quality integer lot size, transaction costs, taxes These constraints increase the complexity of...
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