highOrderPortfolios

CRANhighOrderPortfoliosMaRDI QIDQ92795

Design of High-Order Portfolios Including Skewness and Kurtosis

Xiwen Wang, Rui Zhou, Daniel P. Palomar

Last update: 20 October 2022

Copyright license: GNU General Public License, version 3.0

Software version identifier: 0.1.1

Cites work

• Solving High-Order Portfolios via Successive Convex Approximation Algorithms
• Efficient and Scalable High-Order Portfolios Design via Parametric Skew-t Distribution

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