Portfolio Selection Model Under Higher Moment Constraints and its Approximate Linear Programming Solution
Zhongxing Ye · Gongcheng shuxue xuebao · 2008
A portfolio selection model under higher moment constraints such as skewness and kurtosis is discussed. The existence of the optimal solution is proved and the implicit analytic the solution is derived. After transforming the original model approximately to a linear programming model, a numerical example is given and the relationship between the optimum and the parameters is discussed.