Some connections between higher moments portfolio optimization methods
Farshad Noravesh, Kristiaan Kerstens
TL;DR
This paper reviews various higher moments portfolio optimization methods, comparing paradigms like utility and multi-objective approaches, highlighting their advantages and disadvantages for hedge fund practitioners.
Contribution
It classifies and analyzes different higher moments portfolio optimization methods, providing a comprehensive overview of paradigms and their practical implications.
Findings
Different optimization paradigms are compared and classified.
Advantages and disadvantages of each approach are explained.
The review aids practitioners in selecting suitable methods.
Abstract
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
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Taxonomy
TopicsReservoir Engineering and Simulation Methods