Multivariate Location-Scale Mixtures of Normals and Mean-Variance-Skewness Portfolio Allocation
نویسندگان
چکیده
منابع مشابه
Neural network-based mean-variance-skewness model for portfolio selection
In this study, a novel neural network-based mean–variance–skewness model for optimal portfolio selection is proposed integrating different forecasts and trading strategies, as well as investors’ risk preference. Based on the Lagrange multiplier theory in optimization and the radial basis function (RBF) neural network, the model seeks to provide solutions satisfying the trade-off conditions of m...
متن کاملMean-variance-skewness model for portfolio selection with fuzzy returns
Article history: Received 21 August 2008 Accepted 4 May 2009 Available online 15 May 2009
متن کاملContinuous Time Mean-Variance Optimal Portfolio Allocation
5 We present efficient partial differential equation (PDE) methods for continuous time mean6 variance portfolio allocation problems when the underlying risky asset follows a jump-diffusion. 7 The standard formulation of mean-variance optimal portfolio allocation problems, where the 8 total wealth is the underlying stochastic process, gives rise to a one-dimensional (1-D) non-linear 9 Hamilton-J...
متن کاملPortfolio Performance Evaluation in a Modified Mean-Variance-Skewness Framework with Negative Data
The present study is an attempt toward evaluating the performance of portfolios using mean-variance-skewness model with negative data. Mean-variance non-linear framework and mean-variance-skewness non- linear framework had been proposed based on Data Envelopment Analysis, which the variance of the assets had been used as an input to the DEA and expected return and skewness were the output. C...
متن کاملImproving skewness of mean-variance portfolios
The widely accepted belief that asset returns and insurance product line margins are not normally distributed has motivated the use of skewness (or higher than second order moments), in the context of optimal risk-reward portfolio allocation. Here, we propose an optimization-based methodology to substantially improve the skewness of portfolios in the mean-variance efficient frontier. Unlike oth...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2009
ISSN: 1556-5068
DOI: 10.2139/ssrn.1413060