A mean-variance-skewness model: Algorithm and applications

Hiroshi Konno, Rei Yamamoto

研究成果: Article

12 引用 (Scopus)

抜粋

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.

元の言語English
ページ(範囲)409-423
ページ数15
ジャーナルInternational Journal of Theoretical and Applied Finance
8
発行部数4
DOI
出版物ステータスPublished - 2005 6 1
外部発表Yes

ASJC Scopus subject areas

  • Finance
  • Economics, Econometrics and Finance(all)

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