Research on Risk Identification System Based on Random Forest Algorithm-High-Order Moment Model

Table 6

Optimal return of the portfolio over the risk set.

Code	Combination type	Best return and risk
	Preference	Mean	Variance	Skewness	Kurtosis
C1	1, 1, 0, 0	0.0231	2.0512	−1.6999	24.9089
C2	1, 1, 0, 1	0.0145	1.9768	−1.7154	23.5019
C3	1, 1, 1, 0	0.0252	2.0843	−1.6058	25.2483
C4	1, 1, 1, 1	0.0156	1.9870	−1.6896	23.6106
C5	1, 1, 1, 2	0.0216	2.0450	−1.6488	24.4657
C6	1, 1, 2, 1	0.0183	2.0203	−1.6266	24.0459
C7	1, 1, 2, 2	0.0275	2.1462	−1.4748	26.1060
C8	Equal weight	0.0020	2.0976	−1.6049	25.4302