A MEAN-VARIANCE-SKEWNESS MODEL: ALGORITHM AND APPLICATIONS
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Publication:5462699
DOI10.1142/S0219024905003116zbMath1139.91335MaRDI QIDQ5462699
Publication date: 3 August 2005
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
integer programmingnonconvex minimizationefficient frontierPortfolio optimizationmean-variance-skewnessthird order moment
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Cites Work
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- Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities
- A mean-absolute deviation-skewness portfolio optimization model
- Minimal concave cost rebalance of a portfolio to the efficient frontier
- Risk, Return, Skewness and Preference
- The Bootstrap Approach for Testing Skewness Persistence
- Internationally Diversified Investment Using an Integrated Portfolio Model
- A branch and bound algorithm for solving mean-risk-skewness portfolio models
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