Developing new portfolio strategies by aggregation
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DOI: 10.1007/s10479-019-03207-0
Abstract: We propose a method to combine N portfolio strategies by optimizing a given utility function $$U(\cdot )$$U(ยท). The method does not rely on any distributional assumption, could be easily extended to different combining functions and… read more here.
Keywords: new portfolio; portfolio strategies; method; portfolio ... See more keywords
The effectiveness of incorporating higher moments in portfolio strategies: evidence from the Chinese commodity futures markets
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DOI: 10.1080/14697688.2019.1687926
Abstract: This paper examines portfolio strategies that incorporate individual and systematic higher-order moments, within a stochastic optimization framework with uncertain mean and covariance. Using weekly, daily, and 30-minute interval data on Chinese commodity futures, we show… read more here.
Keywords: incorporating higher; portfolio strategies; chinese commodity; higher moments ... See more keywords