Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function

DOI10.1016/J.EJOR.2010.09.014zbMath1207.91070OpenAlexW2138206909MaRDI QIDQ631103

Ignace Van de Woestyne, Amine Mounir, Kristiaan Kerstens

Publication date: 22 March 2011

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2010.09.014

zbMATH Keywords

efficient frontiermean-variance-skewness efficiencyshortage function

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of mathematical programming (90C90) Portfolio theory (91G10)

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Uses Software

• NPSOL

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