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Radiation Effect on Unsteady Magnetohydrodynamic Free Convection Flow in a Porous Medium with Newtonian Heating

H Abid, M. N. Zakaria, Samiulhaq, I. Khan, S. Sharidan

Abstract


To reflect the fat-tail and skew feature of the risky assets' return distribution, we adopt the multivariate skew-t distribution to describe the return data, then we establish a financial index tracking model which controls the downside risk through a probability constraint, and takes into account multiple market frictions, such as the value constraints and transaction costs. Since the new model can be transformed into a second-order conic program or a linear program, the derived index tracking problem can be solved easily in polynomial time. Empirical results based on the Chinese stock market demonstrate the efficiency and practical value of our new tracking model.

Keywords


Financial index tracking, portfolio selection problem, Skew-t distribution, investing constraints.

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