Portfolio Construction Based on High Moment Distribution Parameters

Sergey Okun  This article was written by Sergey Okun – Senior Financial Analyst, I Know First, Ph.D. in Economics.


  • Investors are differentiated according to different risk-taking levels, which leads to the existence of different portfolios taking into account investor preferences.
  • The four moments utility function enables us to construct portfolios taking into account investors' preferences about risk-aversion.
  • I Know First provides different forecast packages which allow us to select the most promising stocks for portfolio optimization.

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Portfolio Optimization Based on Machine Learning: Up to 71.20% Return in 14 Days

Package Name: Consumer Stocks
Forecast Length: 14 days (11/24/15 – 12/8/15)
I Know First Average: 12.74%

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Portfolio Optimization Based On Artificial Intelligence: Up to 33.93% in 3 Months

Package Name: Bank Stocks
Forecast Length: 3 Months (5/17/15 – 8/17/15)
I Know First Average: 7.83%

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Portfolio Optimization