English, Article edition: A MEAN-VARIANCE-SKEWNESS MODEL: ALGORITHM AND APPLICATIONS HIROSHI KONNO; REI YAMAMOTO

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Bookmark: http://trove.nla.gov.au/version/82858
Physical Description
  • article
Language
  • English

Edition details

Title
  • A MEAN-VARIANCE-SKEWNESS MODEL: ALGORITHM AND APPLICATIONS
Author
  • HIROSHI KONNO
  • REI YAMAMOTO
Physical Description
  • article
Notes
  • 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.
  • Portfolio optimization, third order moment, mean-variance-skewness, efficient frontier, nonconvex minimization, integer programming
  • RePEc:wsi:ijtafx:v:08:y:2005:i:04:p:409-423
Language
  • English
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