A branch and bound algorithm for solving mean-risk-skewness portfolio models

DOI10.1080/10556789808805716zbMath0939.91062OpenAlexW2072948965MaRDI QIDQ4946710

Hiroshi Konno, Daisuke Kobayashi, Takayuki Suzuki

Publication date: 10 July 2000

Published in: Optimization Methods and Software (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10556789808805716

zbMATH Keywords

branch-and-bound algorithmportfolio optimization

Mathematics Subject Classification ID

Markov and semi-Markov decision processes (90C40)

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Mean-risk-skewness models for portfolio optimization based on uncertain measure ⋮ A MEAN-VARIANCE-SKEWNESS MODEL: ALGORITHM AND APPLICATIONS

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