Mean-variance-skewness model for portfolio selection with transaction costs

DOI10.1080/0020772031000158492zbMath1074.91533OpenAlexW4246176696MaRDI QIDQ3044157

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Publication date: 10 August 2004

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/0020772031000158492

Mathematics Subject Classification ID

Nonlinear programming (90C30) Portfolio theory (91G10)

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Cites Work

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• Multi-stage stochastic linear programs for portfolio optimization
• A mean-absolute deviation-skewness portfolio optimization model
• Large-Scale Portfolio Optimization
• A linear programming algorithm for optimal portfolio selection with transaction costs
• A Simple Algorithm for Optimal Portfolio Selection with Fixed Transaction Costs
• Stochastic Network Programming for Financial Planning Problems
• Investment Strategies under Transaction Costs: The Finite Horizon Case
• Portfolio Analysis in a Stable Paretian Market
• The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments

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