论文标题
稀疏的非凸优化，用于更高的力矩投资组合管理
Sparse Non-Convex Optimization For Higher Moment Portfolio Management
论文作者
论文摘要
从业者在投资决策中未完全使用高阶投资组合优化方法的原因之一是这些较高时刻通过使优化问题非convex创造的复杂性。文献中存在许多方法和理论结果，但是本文使用了连续的凸近似方法来解决平均变化问题。
One of the reasons that higher order moment portfolio optimization methods are not fully used by practitioners in investment decisions is the complexity that these higher moments create by making the optimization problem nonconvex. Many few methods and theoretical results exists in the literature, but the present paper uses the method of successive convex approximation for the mean-variance-skewness problem.
