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Naqvi, B., Mirza, N., Naqvi, W. A., & Rizvi, S. (2017). Portfolio Optimisation with Higher Moments of Risk at the Pakistan Stock Exchange. Economic Research-Ekonomska Istrazivanja, 30, 1594-1610.
https://doi.org/10.1080/1331677X.2017.1340182

has been cited by the following article:

• TITLE: High-Order Portfolio Optimization Problem with Background Risk

  AUTHORS: Xiaolu Zhou

  KEYWORDS: Background Risk, Higher Moment, Genetic Algorithm

  JOURNAL NAME: Open Journal of Business and Management, Vol.9 No.3, April 2, 2021

  ABSTRACT: After Markowitz proposed the mean-variance model, the research on portfolio problems has been a hot topic for many investors. The research on portfolio optimization is becoming more and more perfect. The investment theory changes from second-order moment to high-order moment, and from single-stage to multi-stage. More and more factors affecting portfolio optimization are taken into consideration. In this paper, a high-order portfolio optimization problem considering background risks is studied. Firstly, an optimization model of high-order moments including background risks is established, and the genetic algorithm is used to solve the model. Finally, the effects of background risks and high-order moments on the portfolio optimization model are analyzed empirically.