MVSKOPT

A MATLAB toolbox of DC programming approaches for solving the higher-order moment Mean-Variance-Skewness-Kurtosis (MVSK) portfolio optimization model

This project is supported by the National Natural Science Foundation of China (Grant No: 11601327).

Installation

Install POLYLAB toolbox (see Polylab) and DCAM toolbox (see DCAM)
Download the package to a local folder or by running:

git clone https://github.com/niuyishuai/MVSKOPT

Run Matlab and navigate to the code folder, then run install.m script to install the package.

Examples

See example test_udca_ubdca.m for DCA with commonly used universal DC decomposition and the associated boosted-DCA.

Citation

@article{niu2011efficient,
  title={An efficient DC programming approach for portfolio decision with higher moments},
  author={Pham, Dinh Tao and Niu, Yi-Shuai},
  journal={Computational Optimization and Applications},
  volume={50},
  number={3},
  pages={525--554},
  year={2011},
  publisher={Springer}
}

@article{niu2020higherorder,
      title={Higher-order Moment Portfolio Optimization via The Difference-of-Convex Programming and Sums-of-Squares}, 
      author={Yi-Shuai Niu and Ya-Juan Wang},
      year={2020},
      eprint={1906.01509},
      archivePrefix={arXiv},
      primaryClass={math.OC}
}

License

Released under MIT license

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