Installation
About
The classical Markowitz's mean-variance portfolio formulation ignores heavy tails and skewness. High-order portfolios use higher order moments to better characterize the return distribution. Different formulations and fast algorithms are proposed for high-order portfolios based on the mean, variance, skewness, and kurtosis. The package is based on the papers: R. Zhou and D. P. Palomar (2021). "Solving High-Order Portfolios via Successive Convex Approximation Algorithms."
Citation | highOrderPortfolios citation info |
github.com/dppalomar/highOrderPortfolios | |
www.danielppalomar.com | |
Bug report | File report |
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