论文标题
较高的矩投资组合优化方法之间的一些连接
Some connections between higher moments portfolio optimization methods
论文作者
论文摘要
在本文中，对投资组合优化的不同方法进行了较高的时刻（例如偏度和峰度）进行分类，以便读者可以在这一研究领域观察到不同的范式和方法，这对于对冲基金中的从业者来说至关重要。审查了基于不同范式的几种方法，例如实用程序方法和多目标优化，并解释了这些想法的优势和不利影响。关键字：多目标优化，投资组合优化，标量，实用程序
In this paper, different approaches to portfolio optimization having higher moments such as skewness and kurtosis are classified so that the reader can observe different paradigms and approaches in this field of research which is essential for practitioners in Hedge Funds in particular. Several methods based on different paradigms such as utility approach and multi-objective optimization are reviewed and the advantage and disadvantageous of these ideas are explained. Keywords: multi-objective optimization, portfolio optimization, scalarization, utility
