Journal ArticleDOI
A mean-absolute deviation-skewness portfolio optimization model
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TLDR
This paper proposes a practical scheme to obtain a portfolio with a large third moment under the constraints on the first and second moment and solves the problem is a linear programming problem, so that a large scale model can be optimized without difficulty.Abstract:
It is assumed in the standard portfolio analysis that an investor is risk averse and that his utility is a function of the mean and variance of the rate of the return of the portfolio or can be approximated as such. It turns out, however, that the third moment (skewness) plays an important role if the distribution of the rate of return of assets is asymmetric around the mean. In particular, an investor would prefer a portfolio with larger third moment if the mean and variance are the same. In this paper, we propose a practical scheme to obtain a portfolio with a large third moment under the constraints on the first and second moment. The problem we need to solve is a linear programming problem, so that a large scale model can be optimized without difficulty. It is demonstrated that this model generates a portfolio with a large third moment very quickly.read more
Citations
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Journal ArticleDOI
Heuristics for cardinality constrained portfolio optimisation
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Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis
TL;DR: The interplay between objective and constraints in a number of single-period variants, including semivariance models are described, revealing the possibility of removing surplus money in future decisions, yielding approximate downside risk minimization.
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Multiple criteria decision making combined with finance: A categorized bibliographic study
Ralph E. Steuer,Paul Na +1 more
TL;DR: The bibliography provides an overview of the literature on “MCDM combined with finance,” shows how contributions to the area have come from all over the world, facilitates access to the entirety of this heretofore fragmented literature, and underscores the often multiple criterion nature of many problems in finance.
Journal ArticleDOI
Portfolio Selection with Higher Moments
TL;DR: This work proposes a method for optimal portfolio selection using a Bayesian decision theoretic framework that addresses two major shortcomings of the traditional Markowitz approach: the ability to handle higher moments and parameter uncertainty, and employs the skew normal distribution.
Journal ArticleDOI
Portfolio selection with higher moments
TL;DR: In this article, a Bayesian decision theoretic framework was proposed for optimal portfolio selection using a skew normal distribution, which has many attractive features for modeling multivariate returns. But, it is important to incorporate higher order moments in portfolio selection, which leads to higher expected utility than the traditional Markowitz approach.
References
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Journal ArticleDOI
Portfolio Selection: Efficient Diversification of Investments
Alan Stuart,Harry M. Markowitz +1 more
TL;DR: In this article, the authors defined asset classes technology sector stocks will diminish as the construction of the portfolio, and the construction diversification among the, same level of assets, which is right for instance among the assets.
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Optimum consumption and portfolio rules in a continuous-time model☆
TL;DR: In this paper, the authors considered the continuous-time consumption-portfolio problem for an individual whose income is generated by capital gains on investments in assets with prices assumed to satisfy the geometric Brownian motion hypothesis, which implies that asset prices are stationary and lognormally distributed.
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Liquidity Preference as Behavior towards Risk
TL;DR: In this article, the authors derived the liquidity preference schedule from some assumptions regarding the behavior of the decision-making units of the economy, and those assumptions are the concern of this paper.
Book
Modern Portfolio Theory and Investment Analysis
TL;DR: The Modern Portfolio Theory as discussed by the authors examines the characteristics and analysis of individual securities as well as the theory and practice of optimally combining securities into portfolios, while presenting advanced concepts of investment analysis and portfolio management.
Book
Portfolio Selection: Efficient Diversification of Investments
TL;DR: In this paper, the authors apply modern techniques of analysis and computation to find combinations of securities that best meet the needs of private or institutional investors, such as hedge fund managers, hedge funds, and hedge funds.
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