All Questions
3 questions
2
votes
0
answers
201
views
Can genetic algorithm help in portfolio optimisation when convexity is not verifiable
I have the following portfolio cost function to maximise:
$$
w^T\mu-\frac{1}{2}\gamma w^T\Sigma w+\frac{1}{6}\gamma^2 w^TM_3(w\otimes w),
$$
which considers the co-skewness ($M_3$ tensor), $γ$ is the ...
- 326
1
vote
1
answer
254
views
How to transform a cubic optimisation problem into a quadratic for portfolio allocation
I have the following cost function for portfolio allocation:
$$
w^T\mu-\frac{1}{2}\gamma w^T\Sigma w+\frac{1}{6}\gamma^2 w^TM_3(w\otimes w),
$$
which considers also the co-skewness ($M_3$ tensor), $\...
- 326
3
votes
2
answers
513
views
How to add the effect of skewness in the portfolio optimisation objective function?
I have the following risk adjusted portfolio which I optimise,
where gamma is the risk return trade off, $r$ are the returns and $C$ is the covariance matrix which considers scenarios, so it is not ...
- 326