Browsing NHH Brage by Author "Chen, Vis"
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Higher-moment portfolios with practical constraints based on Polynomial goal programming
Carlenius, Jens Gautefall; Chen, Vis (Master thesis, 2017)This thesis contributes to the field of portfolio selection by constructing and analyzing the impact of incorporating higher-moments by Polynomial goal programming. We construct the mean-variance-skewness and the ...