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An efficient DC programming approach for portfolio decision with higher moments

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  • Tao Pham Dinh
  • Yi-Shuai Niu

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  • Tao Pham Dinh & Yi-Shuai Niu, 2011. "An efficient DC programming approach for portfolio decision with higher moments," Computational Optimization and Applications, Springer, vol. 50(3), pages 525-554, December.
    • Handle: RePEc:spr:coopap:v:50:y:2011:i:3:p:525-554
    DOI: 10.1007/s10589-010-9383-x
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    References listed on IDEAS

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    1. ROCKINGER, Michael & JONDEAU, Eric, 2000. "Conditional Volatility, Skewness, and Kurtosis : Existence and Persistence," HEC Research Papers Series 710, HEC Paris.
    2. Tao Pham Dinh & Nam Nguyen Canh & Hoai Le Thi, 2010. "An efficient combined DCA and B&B using DC/SDP relaxation for globally solving binary quadratic programs," Journal of Global Optimization, Springer, vol. 48(4), pages 595-632, December.
    3. Jondeau, Eric & Rockinger, Michael, 2003. "Conditional volatility, skewness, and kurtosis: existence, persistence, and comovements," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1699-1737, August.
    4. Norbert Jobst & Stavros A. Zenios, 2001. "The Tail that Wags the Dog: Integrating Credit Risk in Asset Portfolios," Center for Financial Institutions Working Papers 01-24, Wharton School Center for Financial Institutions, University of Pennsylvania.
    5. Arditti, Fred D & Levy, Haim, 1975. "Portfolio Efficiency Analysis in Three Moments: The Multiperiod Case," Journal of Finance, American Finance Association, vol. 30(3), pages 797-809, June.
    6. Campbell R. Harvey & Akhtar Siddique, 2000. "Conditional Skewness in Asset Pricing Tests," Journal of Finance, American Finance Association, vol. 55(3), pages 1263-1295, June.
    7. Jean, William H., 1971. "The Extension of Portfolio Analysis to Three or More Parameters," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(1), pages 505-515, January.
    8. Le An & Pham Tao, 2005. "The DC (Difference of Convex Functions) Programming and DCA Revisited with DC Models of Real World Nonconvex Optimization Problems," Annals of Operations Research, Springer, vol. 133(1), pages 23-46, January.
    9. Norbert J. Jobst & Stavros A. Zenios, 2001. "The Tail that Wags the Dog: Integrating Credit Risk in Asset Portfolios," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 3(1), pages 31-43, April.
    10. R. Horst & N. V. Thoai, 1999. "DC Programming: Overview," Journal of Optimization Theory and Applications, Springer, vol. 103(1), pages 1-43, October.
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    Cited by:

    1. Hafner, Christian & Herwartz, Helmut, 2020. "Dynamic score driven independent component analysis," LIDAM Discussion Papers ISBA 2020031, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    2. Rui Zhou & Daniel P. Palomar, 2020. "Solving High-Order Portfolios via Successive Convex Approximation Algorithms," Papers 2008.00863, arXiv.org.
    3. Jinxin Wang & Zengde Deng & Taoli Zheng & Anthony Man-Cho So, 2020. "Sparse High-Order Portfolios via Proximal DCA and SCA," Papers 2008.12953, arXiv.org, revised Jun 2021.
    4. Niu, Yi-Shuai & Júdice, Joaquim & Le Thi, Hoai An & Pham, Dinh Tao, 2019. "Improved dc programming approaches for solving the quadratic eigenvalue complementarity problem," Applied Mathematics and Computation, Elsevier, vol. 353(C), pages 95-113.

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