Skewed distributions in finance and actuarial science: a review
That the returns on financial assets and insurance claims are not well described by the
multivariate normal distribution is generally acknowledged in the literature. This paper …
multivariate normal distribution is generally acknowledged in the literature. This paper …
Optimal portfolio allocation under higher moments
E Jondeau, M Rockinger - European Financial Management, 2006 - Wiley Online Library
We evaluate how departure from normality may affect the allocation of assets. A Taylor
series expansion of the expected utility allows to focus on certain moments and to compute …
series expansion of the expected utility allows to focus on certain moments and to compute …
Mean-variance-skewness portfolio performance gauging: a general shortage function and dual approach
W Briec, K Kerstens, O Jokung - Management science, 2007 - pubsonline.informs.org
This paper proposes a nonparametric efficiency measurement approach for the static
portfolio selection problem in mean-variance-skewness space. A shortage function is …
portfolio selection problem in mean-variance-skewness space. A shortage function is …
Financial portfolio management through the goal programming model: Current state-of-the-art
Since Markowitz (1952) formulated the portfolio selection problem, many researchers have
developed models aggregating simultaneously several conflicting attributes such as: the …
developed models aggregating simultaneously several conflicting attributes such as: the …
Insider share-pledging and equity risk
R Anderson, M Puleo - Journal of Financial Services Research, 2020 - Springer
Corporate insiders frequently borrow from lending institutions and pledge their personal
equity as collateral for the loan. This borrowing, or pledging, potentially affects shareholder …
equity as collateral for the loan. This borrowing, or pledging, potentially affects shareholder …
Is international diversification really beneficial?
L You, RT Daigler - Journal of Banking & Finance, 2010 - Elsevier
Previous research claims that low constant correlations among international stock indices
create substantial risk-reduction from diversification. We contend that only using constant …
create substantial risk-reduction from diversification. We contend that only using constant …
Portfolio optimization using predictive auxiliary classifier generative adversarial networks
In financial engineering, portfolio optimization has been of consistent interest. Portfolio
optimization is a process of modulating asset distributions to maximize expected returns and …
optimization is a process of modulating asset distributions to maximize expected returns and …
A review of goal programming for portfolio selection
R Azmi, M Tamiz - New developments in multiple objective and goal …, 2010 - Springer
Goal Programming (GP) is the most widely used approach in the field of multiple criteria
decision making that enables the decision maker to incorporate numerous variations of …
decision making that enables the decision maker to incorporate numerous variations of …
A polynomial goal programming model for portfolio optimization based on entropy and higher moments
M Aksaraylı, O Pala - Expert Systems with Applications, 2018 - Elsevier
Portfolio selection is a critical factor in investment. Having considered a number of risky
assets, fund managers must choose the optimum portfolio. Stock values can be affected by …
assets, fund managers must choose the optimum portfolio. Stock values can be affected by …
Multi-criteria decision analysis with goal programming in engineering, management and social sciences: a state-of-the art review
Goal programming (GP) is an important class of multi-criteria decision models widely used to
analyze and solve applied problems involving conflicting objectives. Originally introduced in …
analyze and solve applied problems involving conflicting objectives. Originally introduced in …