A hybrid approach for portfolio selection with higher-order moments: Empirical evidence from Shanghai Stock Exchange.
Bilian ChenJingdong ZhongYuanyuan ChenPublished in: Expert Syst. Appl. (2020)
Keyphrases
- empirical evidence
- stock exchange
- portfolio selection
- higher order
- stock market
- financial markets
- stock price
- portfolio optimization
- transaction costs
- financial data
- financial time series
- high order
- portfolio management
- pairwise
- optimal portfolio
- short term
- chinese stock market
- robust optimization
- multiple objectives
- exchange rate
- data mining
- garch model
- non stationary
- games based learning