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中文摘要：
本文讨论有包括偏度和峰度在内的高阶矩约束的最优投资组合模型。证明了最优投资组合决策的存在性并导出解析解的隐式表达式，然后利用线性逼近的方法得到近似解，并给出了具体算例，最后分析了模型中的权重参数对最优目标的影响。
英文摘要：
A portfolio selection model under higher moment constraints such as skewness and kurtosis is discussed. The existence of the optimal solution is proved and the implicit analytic the solution is derived. After transforming the original model approximately to a linear programming model, a numerical example is given and the relationship between the optimum and the parameters is discussed.
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