关键词: 动态组合投资, 高阶矩, 多目标优化, 效用函数

Abstract: Higher moments risk cannot be neglected in portfolio analysis. The optimal portfolio must address the trade-off between conflicting objectives, such as maximizing the expected rate of return and positive skewness, and simultaneously minimizing the variance and kurtosis. Furthermore, since the higher moments risk is time-variant, it is necessary to consider a dynamic portfolio model. Based on multi-objective programming technique and utility function theory, this paper establishes the dynamic portfolio model under higher moments and solves it using a nonlinear programming function “fmincon” in MATLAB. We also compare the proposed two models from the view of both theory and empiric. 

Key words: Dynamic Portfolio, Higher Moments, Multi-objective Programming, Utility Function