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A hybrid approach for portfolio selection with higher-order moments: Empirical evidence from Shanghai Stock Exchange
16 references·4 citing·50 second hop
A hybrid approach for portfolio selection with higher-order moments: Empirical evidence from Shanghai Stock Exchange (2019)A hybrid approach for portfolio selection…Literature review: Machine learning techniques applied to financial market prediction (2019)Literature review: Machine le…Decision-making for financial trading: A fusion approach of machine learning and portfolio selection (2018)Decision-making for financial…Deep learning networks for stock market analysis and prediction: Methodology, data representations, and case studies (2017)Deep learning networks for st…Predicting stock and stock price index movement using Trend Deterministic Data Preparation and machine learning techniques (2014)Predicting stock and stock pr…Risk Aversion and Wealth: Evidence from Person-to-Person Lending Portfolios (2010)Risk Aversion and Wealth: Evi…BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM (2010)BETTER THAN DYNAMIC MEAN‐VARI…Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach (2007)Mean-Variance-Skewness Portfo…Global optimization of higher order moments in portfolio selection (2007)Global optimization of higher…Neural network-based mean–variance–skewness model for portfolio selection (2006)Neural network-based mean–var…Portfolio performance evaluation in a mean–variance–skewness framework (2005)Portfolio performance evaluat…A refinement to the Sharpe ratio and information ratio (2005)A refinement to the Sharpe ra…Simulated annealing for complex portfolio selection problems (2003)Simulated annealing for compl…Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Markowitz Revisited: Mean-Var…Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation (2000)Optimal Dynamic Portfolio Sel…Portfolio selection and skewness: Evidence from international stock markets (1997)Portfolio selection and skewn…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Short-Term Stock Correlation Forecasting Based on CNN-BiLSTM Enhanced by Attention Mechanism (2024)Short-Term Stock Correlation …Higher-order moments in portfolio selection problems: A comprehensive literature review (2023)Higher-order moments in portf…Research on Stock Price Time Series Prediction Based on Deep Learning and Autoregressive Integrated Moving Average (2022)Research on Stock Price Time …Do higher-order realized moments matter for cryptocurrency returns? (2020)Do higher-order realized mome…How to Use Security Analysis to Improve Portfolio Selection (1973)Robust Performance Hypothesis Testing with the Sharpe Ratio (2007)Market Timing with Option-Implied Distributions: A Forward-Looking Approach (2011)An intelligent financial portfolio trading strategy using deep Q-learning (2020)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Financial time series forecasting using support vector machines (2003)Forecasting stock market movement direction with support vector machine (2004)Evaluating multiple classifiers for stock price direction prediction (2015)Sentiment analysis on social media for stock movement prediction (2015)CNNpred: CNN-based stock market prediction using a diverse set of variables (2019)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Skewness in financial returns (1999)Mean-variance-skewness model for portfolio selection with fuzzy returns (2009)Does Gold Glitter in the Long-Run? Gold as a Hedge and Safe Haven Across Time and Investment Horizon (2014)Portfolio Selection (1952)Modern Portfolio Theory and Investment Analysis. (1982)Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Markowitz-based portfolio selection with minimum transaction lots, cardinality constraints and regarding sector capitalization using genetic algorithm (2008)Particle swarm optimization approach to portfolio optimization (2008)Twenty years of linear programming based portfolio optimization (2013)Portfolio Selection: Efficient Diversification of Investments (1959)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Dynamic Mean-Variance Asset Allocation (2010)MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Optimization Methods in Finance (2006)Robust portfolios: contributions from operations research and finance (2009)Particle Swarm Optimization (PSO) for the constrained portfolio optimization problem (2011)Does the Stock Market Overreact? (1985)Hierarchical structure in financial markets (1999)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)A systematic review of fundamental and technical analysis of stock market predictions (2019)Applications of deep learning in stock market prediction: Recent progress (2021)The Behavior of Stock-Market Prices (1965)The Efficient Market Hypothesis and Its Critics (2003)Portfolio formation with preselection using deep learning from long-term financial data (2019)An Application of Deep Reinforcement Learning to Algorithmic Trading (2020)Financial applications of machine learning: A literature review (2023)Theory building with big data-driven research – Moving away from the “What” towards the “Why” (2020)Prediction of stock price direction using a hybrid GA-XGBoost algorithm with a three-stage feature engineering process (2021)Machine learning techniques and data for stock market forecasting: A literature review (2022)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 2014Predicting stock and stock price index movement using Trend Deterministic Data Preparation and machine learning techniques1,139 cited
  • 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation994 cited
  • 2017Deep learning networks for stock market analysis and prediction: Methodology, data representations, and case studies833 cited
  • 2019Literature review: Machine learning techniques applied to financial market prediction560 cited
  • 1997Portfolio selection and skewness: Evidence from international stock markets384 cited
  • 2001Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis382 cited
  • 2003Simulated annealing for complex portfolio selection problems352 cited
  • 2018Decision-making for financial trading: A fusion approach of machine learning and portfolio selection276 cited
  • 2005A refinement to the Sharpe ratio and information ratio222 cited
  • 2007Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach212 cited
  • 2010Risk Aversion and Wealth: Evidence from Person-to-Person Lending Portfolios171 cited
  • 2005Portfolio performance evaluation in a mean–variance–skewness framework141 cited
  • 2010BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM

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130 cited
  • 2006Neural network-based mean–variance–skewness model for portfolio selection128 cited
  • 2007Global optimization of higher order moments in portfolio selection108 cited
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    • 2020Do higher-order realized moments matter for cryptocurrency returns?35 cited