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

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