Higher-order moments in portfolio selection problems: A comprehensive literature review

PK Mandal, M Thakur - Expert Systems with Applications, 2024 - Elsevier
Markowitz's portfolio selection model has been the biggest step-forward in financial decision
making and has been the central point of research since its inception. The mean–variance …

Skewed distributions in finance and actuarial science: a review

C Adcock, M Eling, N Loperfido - The European Journal of Finance, 2015 - Taylor & Francis
That the returns on financial assets and insurance claims are not well described by the
multivariate normal distribution is generally acknowledged in the literature. This paper …

[HTML][HTML] Social responsibility portfolio optimization incorporating ESG criteria

L Chen, L Zhang, J Huang, H Xiao, Z Zhou - Journal of Management …, 2021 - Elsevier
Social responsibility investment (SRI) has attracted worldwide attention for its potential in
promoting investment sustainability and stability. We developed a three-step framework by …

Portfolio selection with higher moments

CR Harvey, JC Liechty, MW Liechty… - Quantitative Finance, 2010 - Taylor & Francis
We propose a method for optimal portfolio selection using a Bayesian decision theoretic
framework that addresses two major shortcomings of the traditional Markowitz approach: the …

A hybrid approach for portfolio selection with higher-order moments: Empirical evidence from Shanghai Stock Exchange

B Chen, J Zhong, Y Chen - Expert Systems with Applications, 2020 - Elsevier
Skewness and kurtosis, the third and fourth order moments, are statistics to summarize the
shape of a distribution function. Recent studies show that investors would take these higher …

Testing for prudence and skewness seeking

S Ebert, D Wiesen - Management Science, 2011 - pubsonline.informs.org
Numerous theoretical predictions such as precautionary saving or preventive behavior have
been derived for prudent decision makers. Further, prudence can be characterized as …

Supply chains involving a mean‐variance‐skewness‐kurtosis newsvendor: Analysis and coordination

J Zhang, SP Sethi, TM Choi… - Production and …, 2020 - journals.sagepub.com
The classical newsvendor problem seeks to minimize the expected inventory cost or
maximize the expected profit. But optimizing an expected value alone does not fully capture …

Portfolio optimization using higher moments in an uncertain random environment

MK Mehlawat, P Gupta, AZ Khan - Information Sciences, 2021 - Elsevier
In this paper, a multi-objective portfolio optimization problem is studied in an uncertain
random environment using higher moments. We consider a scenario involving an asset …

[HTML][HTML] Fuzzy mean–variance–skewness portfolio selection models by interval analysis

R Bhattacharyya, S Kar, DD Majumder - Computers & Mathematics with …, 2011 - Elsevier
In portfolio selection problem, the expected return, risk, liquidity etc. cannot be predicted
precisely. The investor generally makes his portfolio decision according to his experience …

Do ethics imply persistence? The case of Islamic and socially responsible funds

O Abdelsalam, M Duygun, JC Matallín-Sáez… - Journal of Banking & …, 2014 - Elsevier
We analyze the performance persistence of Islamic and Socially Responsible Investment
(SRI) mutual funds. We adopt a multi-stage strategy in which, in the first stage, partial …