A Mean-Variance-Skewness Model: Algorithm And Applications
AbstractWe 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.
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Bibliographic InfoArticle 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 ()
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Web page: http://www.worldscinet.com/ijtaf/ijtaf.shtml
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- 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.
- Takano, Y. & Sotirov, R., 2010. "A Polynomial Optimization Approach to Constant Rebalanced Portfolio Selection," Discussion Paper 2010-114, Tilburg University, Center for Economic Research.
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