期刊名称：International Journal of Economics and Finance
印刷版ISSN：1916-971X
电子版ISSN：1916-9728
出版年度：2014
卷号：2
期号：5
页码：157
DOI：10.5539/ijef.v2n5p157
语种：English
出版社：Canadian Center of Science and Education
摘要：We analyze the international portfolio optimization problem by introducing the higher moments of the main financial index returns. We take especially account of their skewness and kurtosis. We introduce various decision criteria, based on these moments. In this framework, we solve different optimization problems: skewness maximization, kurtosis minimization, Polynomial Goal Programming (PGP), and finally, truncated utility maximization. For all of these objective functions, we determine, analyze and compare the optimal solutions, especially their degree of diversification. We illustrate our results on monthly returns of eighteen major international stock market indexes, for the period January 1988 through December 2007.
