Advanced Search
MyIDEAS: Login

A Mean-Variance-Skewness Model: Algorithm And Applications


Author Info


    (Department of Industrial and Systems Engineering, Chuo University, 1-13-27 Kasuga, Bunkyo-Ku, Tokyo 112-8551, Japan)


    (Department of Industrial and Systems Engineering, Chuo University, 1-13-27 Kasuga, Bunkyo-Ku, Tokyo 112-8551, Japan; MTB Investment Technology Institute Co. Ltd., Japan)

Registered author(s):


    We will show that a mean-variance-skewness portfolio optimization model, a direct extension of the classical mean-variance model can be solved exactly and fast by using the state-of-the-art integer programming approach. This implies that we can now calculate a portfolio with maximal expected utility for any decreasing risk averse utility function.Also, we will show that this model can be used as a practical tool for constructing a portfolio when the asset returns follow skewed distribution. As an example, we apply this model to construct an index plus alpha portfolio.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL:
    Download Restriction: Access to full text is restricted to subscribers.

    File URL:
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by World Scientific Publishing Co. Pte. Ltd. in its journal International Journal of Theoretical and Applied Finance.

    Volume (Year): 08 (2005)
    Issue (Month): 04 ()
    Pages: 409-423

    as in new window
    Handle: RePEc:wsi:ijtafx:v:08:y:2005:i:04:p:409-423

    Contact details of provider:
    Web page:

    Order Information:

    Related research

    Keywords: Portfolio optimization; third order moment; mean-variance-skewness; efficient frontier; nonconvex minimization; integer programming;


    No references listed on IDEAS
    You can help add them by filling out this form.


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Yuichi Takano & Renata Sotirov, 2012. "A polynomial optimization approach to constant rebalanced portfolio selection," Computational Optimization and Applications, Springer, vol. 52(3), pages 645-666, July.


    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.


    Access and download statistics


    When requesting a correction, please mention this item's handle: RePEc:wsi:ijtafx:v:08:y:2005:i:04:p:409-423. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Tai Tone Lim).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.