A Mean-Variance-Skewness Model: Algorithm And Applications
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DOI: 10.1142/S0219024905003116
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Cited by:
- Yuichi Takano & Renata Sotirov, 2012.
"A polynomial optimization approach to constant rebalanced portfolio selection,"
Computational Optimization and Applications, Springer, vol. 52(3), pages 645-666, July.
- Takano, Y. & Sotirov, R., 2010. "A Polynomial Optimization Approach to Constant Rebalanced Portfolio Selection," Other publications TiSEM 50bcc54f-7451-4e27-88a5-3, Tilburg University, School of Economics and Management.
- Takano, Y. & Sotirov, R., 2010. "A Polynomial Optimization Approach to Constant Rebalanced Portfolio Selection," Discussion Paper 2010-114, Tilburg University, Center for Economic Research.
- Farshad Noravesh & Kristiaan Kerstens, 2022. "Some connections between higher moments portfolio optimization methods," Papers 2201.00205, arXiv.org.
- Toshiki Sato & Yuichi Takano & Ryuhei Miyashiro & Akiko Yoshise, 2016. "Feature subset selection for logistic regression via mixed integer optimization," Computational Optimization and Applications, Springer, vol. 64(3), pages 865-880, July.
- Mikl'os R'asonyi & Hasanjan Sayit, 2022. "Exponential utility maximization in small/large financial markets," Papers 2208.06549, arXiv.org, revised Feb 2024.
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Keywords
Portfolio optimization; third order moment; mean-variance-skewness; efficient frontier; nonconvex minimization; integer programming;All these keywords.
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