A mean-absolute deviation-skewness portfolio optimization model
From MaRDI portal
Publication:1313156
DOI10.1007/BF02282050zbMath0785.90014OpenAlexW1974288696WikidataQ93676282 ScholiaQ93676282MaRDI QIDQ1313156
Hiroshi Shirakawa, Hiroaki Yamazaki, Hiroshi Konno
Publication date: 26 January 1994
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf02282050
Applications of mathematical programming (90C90) Linear programming (90C05) Portfolio theory (91G10)
Related Items
Extended omega ratio optimization for risk‐averse investors, Global portfolio construction with emphasis on conflicting corporate strategies to maximize stockholder wealth, Multi-stage stochastic mean-semivariance-CVaR portfolio optimization under transaction costs, Common stock portfolio selection: a multiple criteria decision making methodology and an application to the Athens stock exchange, Uncertain random mean–variance–skewness models for the portfolio optimization problem, A globally convergent method for solving a quartic generalized Markowitz portfolio problem, Adopting genetic algorithms for technical analysis and portfolio management, An outcome-space finite algorithm for solving linear multiplicative programming, Portfolio selection: a linear approach with dual expected utility, Fuzzy multi-period portfolio selection with different investment horizons, A new particle swarm optimization algorithm with an application, Solving nonlinear portfolio optimization problems with the primal-dual interior point method, Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model, Mean-variance-VaR portfolios: MIQP formulation and performance analysis, Distributionally robust mean-absolute deviation portfolio optimization using Wasserstein metric, A new linearization method for generalized linear multiplicative programming, Probability maximization models for portfolio selection under ambiguity, Unnamed Item, An efficient algorithm for globally solving generalized linear multiplicative programming, A constrained swarm optimization algorithm for large-scale long-run investments using Sharpe ratio-based performance measures, The optimal portfolio problem with coherent risk measure constraints., Financial analysis based sectoral portfolio optimization under second order stochastic dominance, Increases in skewness and three-moment preferences, A generalized skewness statistic for stationary ergodic martingale differences, Portfolio optimization for wealth-dependent risk preferences, Influence of non-Gaussian noise on the coherent feed-forward loop with time delay, Does marginal VaR lead to improved performance of managed portfolios: a study of S\&P BSE 100 and S\&P BSE 200, Risk-controlled multiobjective portfolio selection problem using a principle of compromise, Moments and semi-moments for fuzzy portfolio selection, Global optimization for generalized linear multiplicative programming using convex relaxation, Efficiency evaluation of fuzzy portfolio in different risk measures via DEA, Investor-friendly and robust portfolio selection model integrating forecasts for financial tendency and risk-averse, Analysis of long-term natural gas contracts with vine copulas in optimization portfolio problems, Genetic algorithms for portfolio selection problems with minimum transaction lots, Credibilistic variance and skewness of trapezoidal fuzzy variable and mean-variance-skewness model for portfolio selection, DEA frontier improvement and portfolio rebalancing: an application of China mutual funds on considering sustainability information disclosure, Portfolio optimization with relaxation of stochastic second order dominance constraints via conditional value at risk, Portfolio selection with higher moments, Linear decomposition approach for a class of nonconvex programming problems, Suitable-portfolio investors, nondominated frontier sensitivity, and the effect of multiple objectives on standard portfolio selection, Portfolio selection in multidimensional general and partial moment space, A mean-variance portfolio selection model with interval-valued possibility measures, Mean-risk models using two risk measures: a multi-objective approach, Equity portfolio construction and selection using multiobjective mathematical programming, Portfolio selection with a minimax measure in safety constraint, Mean-variance-skewness model for portfolio selection with transaction costs, Multi objective mean-variance-skewness model with Burg's entropy and fuzzy return for portfolio optimization, Portfolio construction on the Athens Stock Exchange: a multiobjective optimization approach, Robust-based interactive portfolio selection problems with an uncertainty set of returns, Equilibrium relations in a capital asset market: A mean absolute deviation approach, Non-ideal Brownian motion, generalized Langevin equation and its application to the security market, A hybrid intelligent algorithm for portfolio selection problem with fuzzy returns, Modeling and solving portfolio selection problems based on PVaR, Dynamic portfolio management under competing representations, Portfolio optimization under Solvency II: a multi-objective approach incorporating market views and real-world constraints, A MEAN-VARIANCE-SKEWNESS MODEL: ALGORITHM AND APPLICATIONS, A nonisolated optimal solution of general linear multiplicative programming problems, Global optimization of higher order moments in portfolio selection, A novel convex relaxation-strategy-based algorithm for solving linear multiplicative problems, Mean-variance-skewness model for portfolio selection with fuzzy returns, Portfolio selection problems with random fuzzy variable returns, Stable portfolio selection strategy for mean-variance-CVaR model under high-dimensional scenarios, Heuristics for cardinality constrained portfolio optimization, Approximating a linear multiplicative objective in watershed management optimization, A mean-CVaR-skewness portfolio optimization model based on asymmetric Laplace distribution, Portfolio optimization model with transaction costs., A Study on Portfolio Selection Based on Fuzzy Linear Programming, Portfolio selection with skewness: a comparison of methods and a generalized one fund result
Cites Work
