@inproceedings{fbd4564b5c654a0c8ce0b26cb30dda25,
title = "Mean-Variance-Skewness-Kurtosis efficiency of portfolios computed via moment-based bounds",
abstract = "We analyze moment-based bounding approximations on the expected value of a utility function. We show that optimizing these bounds yields a solution, which is mean-variance (MV) or MV-skewness-kurtosis (MVSK) efficient depending on how many moments are included in the approximation. To illustrate the approach we apply it to an asset allocation model with a shortfall utility function. Numerical results are presented for an out of sample trading strategy using sixteen years of daily trading for a portfolio of six assets. The strategy significantly outperforms a standard market index, Dow Jones Industrial Average.",
author = "Steftcho Dokov and Morton, {David P.} and Ivilina Popova",
note = "Publisher Copyright: {\textcopyright} 2017 IEEE.; 2017 International Conference on Information Science and Communications Technologies, ICISCT 2017 ; Conference date: 02-11-2017 Through 04-11-2017",
year = "2017",
month = dec,
day = "12",
doi = "10.1109/ICISCT.2017.8188577",
language = "English (US)",
series = "2017 International Conference on Information Science and Communications Technologies, ICISCT 2017",
publisher = "Institute of Electrical and Electronics Engineers Inc.",
pages = "1--5",
booktitle = "2017 International Conference on Information Science and Communications Technologies, ICISCT 2017",
address = "United States",
}