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.
|ジャーナル||International Journal of Theoretical and Applied Finance|
|出版ステータス||Published - 2005 6月|
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