Mean-variance-skewness model for portfolio selection

被引：0

作者：

Altayligil, Baris ^{[1
]}

机构：

[1] Istanbul Univ, Iktisat Fak, Ekonometri Bolumu, Istanbul, Turkey

来源：

ISTANBUL UNIVERSITY JOURNAL OF THE SCHOOL OF BUSINESS | 2008年 / 37卷 / 02期

关键词：

Markowitz Portfolio Theory; Mean-Variance; Skewness; Entropy; Portfolio Selection;

D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper, mean-variance-skewness (MVS) model is proposed first for optimal portfolio selection from financial assets, and then mean-variance-skewness-entopy (MVSE) model by adding entropy measure is proposed in order to obtain well diversified portfolio. In MVS and MVSE, Pearson skewness measure which is robust and easy to calculate than traditional skewness measures is used. Both models are used in IMKB-30 for portfolio selection and the results are compared with Markowitz mean-variance (MV) model. It is showed that more efficient portfolios can be selected by MVS model than MV model.

引用

页码：65 / 78

页数：14

共 50 条

[21] Problem of trade-offs between portfolio's mean, variance and skewness as a goal programming model [J].

Dudzinska-Baryla, Renata ;

Kopanska-Brodka, Donata ;

Michalska, Ewa .

37TH INTERNATIONAL CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS 2019, 2019, :415-420

[22] Mean–variance–skewness portfolio optimization with uncertain returns via co-skewnessMean–variance–skewness portfolio optimization with uncertain returns via co-skewnessJ. Gao et al. [J].

Jinwu Gao ;

Haomiao Hu ;

Zezhou Zou ;

Hamed Ahmadzade .

Soft Computing, 2025, 29 (8) :4233-4246

[23] Fuzzy Mean-Variance Portfolio Selection Based on Machine Learning [J].

Zhang, Peng ;

Du, Beibei .

COMPUTATIONAL ECONOMICS, 2025,

[24] PORTFOLIO SELECTION WITH MONOTONE MEAN-VARIANCE PREFERENCES [J].

Maccheroni, Fabio ;

Marinacci, Massimo ;

Rustichini, Aldo ;

Taboga, Marco .

MATHEMATICAL FINANCE, 2009, 19 (03) :487-521

[25] Mean-variance-skewness efficient surfaces, Stein's lemma and the multivariate extended skew-Student distribution [J].

Adcock, C. J. .

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2014, 234 (02) :392-401

[26] Markowitz's mean-variance portfolio selection with regime switching: A continuous-time model [J].

Zhou, XY ;

Yin, G .

SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 2003, 42 (04) :1466-1482

[27] Mean-variance portfolio model with consumption [J].

Wan, Shuping .

2006 9TH INTERNATIONAL CONFERENCE ON CONTROL, AUTOMATION, ROBOTICS AND VISION, VOLS 1- 5, 2006, :22-26

[28] Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean–variance mixture models [J].

Nuerxiati Abudurexiti ;

Kai He ;

Dongdong Hu ;

Svetlozar T. Rachev ;

Hasanjan Sayit ;

Ruoyu Sun .

Annals of Operations Research, 2024, 336 :945-966

[29] A Mean-Variance Hybrid-Entropy Model for Portfolio Selection with Fuzzy Returns [J].

Zhou, Rongxi ;

Zhan, Yu ;

Cai, Ru ;

Tong, Guanqun .

ENTROPY, 2015, 17 (05) :3319-3331

[30] Mean–variance, mean–VaR, and mean–CVaR models for portfolio selection with background risk [J].

Xu Guo ;

Raymond H. Chan ;

Wing-Keung Wong ;

Lixing Zhu .

Risk Management, 2019, 21 :73-98

← 1 2 3 4 5 →