A Mean–Variance–Skewness Portfolio Optimization Model

International Journal of Information Technology

Kostas Metaxiotis

关键词: Evolutionary algorithms;    portfolio optimization;    skewness;    stock selection.;   

DOI  :  10.1999/1307-6892/10010074

学科分类：计算机应用

来源: World Academy of Science, Engineering and Technology (W A S E T)

【 摘 要 】

Portfolio optimization is one of the most important topics in finance. This paper proposes a mean–variance–skewness (MVS) portfolio optimization model. Traditionally, the portfolio optimization problem is solved by using the mean–variance (MV) framework. In this study, we formulate the proposed model as a three-objective optimization problem, where the portfolio's expected return and skewness are maximized whereas the portfolio risk is minimized. For solving the proposed three-objective portfolio optimization model we apply an adapted version of the non-dominated sorting genetic algorithm (NSGAII). Finally, we use a real dataset from FTSE-100 for validating the proposed model.

【 授权许可】

Unknown