Mean-variance-skewness model for portfolio selection with fuzzy returns
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Fred D. Arditti, 1967. "Risk And The Required Return On Equity," Journal of Finance, American Finance Association, vol. 22(1), pages 19-36, March.
- Prakash, Arun J. & Chang, Chun-Hao & Pactwa, Therese E., 2003. "Selecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets," Journal of Banking & Finance, Elsevier, vol. 27(7), pages 1375-1390, July.
- Sharpe, William F., 1971. "A Linear Programming Approximation for the General Portfolio Analysis Problem," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(5), pages 1263-1275, December.
- Paul A. Samuelson, 1970. "The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 37(4), pages 537-542.
- Chunhachinda, Pornchai & Dandapani, Krishnan & Hamid, Shahid & Prakash, Arun J., 1997. "Portfolio selection and skewness: Evidence from international stock markets," Journal of Banking & Finance, Elsevier, vol. 21(2), pages 143-167, February.
- Carlos MACHADO-SANTOS & Ana Cristina FERNANDES, 2005. "Skewness in Financial Returns: Evidence from the Portuguese Stock Market (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 55(9-10), pages 460-470, September.
- Arenas Parra, M. & Bilbao Terol, A. & Rodriguez Uria, M. V., 2001. "A fuzzy goal programming approach to portfolio selection," European Journal of Operational Research, Elsevier, vol. 133(2), pages 287-297, January.
- Stone, Bernell K., 1973. "A Linear Programming Formulation of the General Portfolio Selection Problem†," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 8(4), pages 621-636, September.
- Tanaka, Hideo & Guo, Peijun, 1999. "Portfolio selection based on upper and lower exponential possibility distributions," European Journal of Operational Research, Elsevier, vol. 114(1), pages 115-126, April.
- William F. Sharpe, 1967. "A Linear Programming Algorithm for Mutual Fund Portfolio Selection," Management Science, INFORMS, vol. 13(7), pages 499-510, March.
- Michael J. Best & Robert R. Grauer, 1991. "Sensitivity Analysis for Mean-Variance Portfolio Problems," Management Science, INFORMS, vol. 37(8), pages 980-989, August.
- Kraus, Alan & Litzenberger, Robert H, 1976. "Skewness Preference and the Valuation of Risk Assets," Journal of Finance, American Finance Association, vol. 31(4), pages 1085-1100, September.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Amritansu Ray & Sanat Kumar Majumder, 2018. "Multi objective mean–variance–skewness model with Burg’s entropy and fuzzy return for portfolio optimization," OPSEARCH, Springer;Operational Research Society of India, vol. 55(1), pages 107-133, March.
- Prakash, Arun J. & Chang, Chun-Hao & Pactwa, Therese E., 2003. "Selecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets," Journal of Banking & Finance, Elsevier, vol. 27(7), pages 1375-1390, July.
- Christian Deffo Tassak & Jules Sadefo Kamdem & Louis Aimé Fono & Nicolas Gabriel Andjiga, 2017.
"Characterization of order dominances on fuzzy variables for portfolio selection with fuzzy returns,"
Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 68(12), pages 1491-1502, December.
- Christian Deffo Tassak & Jules Sadefo-Kamdem & Louis Aimé Fono & Nicolas Gabriel Andjiga, 2018. "Characterization of order dominances on fuzzy variables for portfolio selection with fuzzy returns," Post-Print hal-02901704, HAL.
- Chiao, Chaoshin & Hung, Ken & Srivastava, Suresh C., 2003. "Taiwan stock market and four-moment asset pricing model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(4), pages 355-381, October.
- Arenas Parra, M. & Bilbao Terol, A. & Rodriguez Uria, M. V., 2001. "A fuzzy goal programming approach to portfolio selection," European Journal of Operational Research, Elsevier, vol. 133(2), pages 287-297, January.
- Eric Jondeau & Michael Rockinger, 2006.
"Optimal Portfolio Allocation under Higher Moments,"
European Financial Management, European Financial Management Association, vol. 12(1), pages 29-55, January.
- Jondeau, E. & Rockinger, M., 2004. "Optimal Portfolio Allocation Under Higher Moments," Working papers 108, Banque de France.
- Eric Jondeau & Michael Rockinger, 2005. "Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?," FAME Research Paper Series rp132, International Center for Financial Asset Management and Engineering.
- Juliane Proelss & Denis Schweizer, 2014. "Polynomial goal programming and the implicit higher moment preferences of US institutional investors in hedge funds," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(1), pages 1-28, February.
- Canela, Miguel Angel & Collazo, Eduardo Pedreira, 2007. "Portfolio selection with skewness in emerging market industries," Emerging Markets Review, Elsevier, vol. 8(3), pages 230-250, September.
- Abdelaziz, Fouad Ben & Aouni, Belaid & Fayedh, Rimeh El, 2007. "Multi-objective stochastic programming for portfolio selection," European Journal of Operational Research, Elsevier, vol. 177(3), pages 1811-1823, March.
- Rodríguez, Yeny E. & Gómez, Juan M. & Contreras, Javier, 2021. "Diversified behavioral portfolio as an alternative to Modern Portfolio Theory," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
- Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2016.
"Efficient skewness/semivariance portfolios,"
Journal of Asset Management, Palgrave Macmillan, vol. 17(5), pages 331-346, September.
- Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2015. "Efficient Skewness/Semivariance Portfolios," GEMF Working Papers 2015-05, GEMF, Faculty of Economics, University of Coimbra.
- Huang, Xiaoxia, 2007. "Two new models for portfolio selection with stochastic returns taking fuzzy information," European Journal of Operational Research, Elsevier, vol. 180(1), pages 396-405, July.
- M. Glawischnig & I. Seidl, 2013. "Portfolio optimization with serially correlated, skewed and fat tailed index returns," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 21(1), pages 153-176, January.
- Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2016.
"Efficient skewness/semivariance portfolios,"
Journal of Asset Management, Palgrave Macmillan, vol. 17(5), pages 331-346, September.
- Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2015. "Efficient Skewness/Semivariance Portfolios," GEMF Working Papers 2015-05, GEMF, Faculty of Economics, University of Coimbra.
- Tamara Teplova & Evgeniya Shutova, 2011. "A Higher Moment Downside Framework for Conditional and Unconditional Capm in the Russian Stock Market," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 1(2), pages 157-178, December.
- Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2015. "Portfolio Management With Higher Moments: The Cardinality Impact," GEMF Working Papers 2015-15, GEMF, Faculty of Economics, University of Coimbra.
- Gourieroux, C. & Monfort, A., 2005. "The econometrics of efficient portfolios," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 1-41, January.
- Kerstens, Kristiaan & Mounir, Amine & Van de Woestyne, Ignace, 2011.
"Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function,"
European Journal of Operational Research, Elsevier, vol. 210(1), pages 81-94, April.
- K. Kerstens, 2007. "Geometric Representation of the Mean-Variance-Skewness Porfolio Frontier Based upon the Shortage Function," Post-Print hal-00288790, HAL.
- K. Kerstens & A. Mounir & I. van de Woestyne, 2011. "Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function," Post-Print hal-00551848, HAL.
- Kerstens, Kristiaan & Mounier, Amine & Van de Woestyne, Ignace, 2008. "Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function," Working Papers 2008/61, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
- Kristiaan Kerstens & Amine Mounir & Ignace Van de Woestyne, 2008. "Geometric Representation of the Mean-Variance-Skewness Portfolio Frontier Based upon the Shortage Function," Working Papers 2008-ECO-17, IESEG School of Management.
- Annaert, Jan & De Ceuster, Marc & Van Cappellen, Jef, 2023. "Can average skewness really predict financial returns? The euro area case," Finance Research Letters, Elsevier, vol. 52(C).
More about this item
Keywords
Portfolio selection Fuzzy variable Mean-variance-skewness model Fuzzy programming Credibility measure;Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ejores:v:202:y:2010:i:1:p:239-247. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/eor .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.