Uncertain random mean–variance–skewness models for the portfolio optimization problem-Reference-Cited by-同舟云学术

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Uncertain random mean–variance–skewness models for the portfolio optimization problem

Published:2021-05-20 Issue: Volume: Page:1-24
ISSN:0233-1934
Container-title:Optimization
language:en
Short-container-title:Optimization

Author:

Zhai Jia¹,Bai Manying²,Hao Junzhang³⁴

Affiliation:

1. School of Economics, Beijing International Studies University, Beijing, People’s Republic of China

2. School of Economics and Management, Beihang University, Beijing, People’s Republic of China

3. Post-Doctoral Working Station, China Central Depository & Clearing Co., Ltd., Beijing, People’s Republic of China

4. Post-Doctoral Research Station, Fudan University, Shanghai, People’s Republic of China

Funder

Beijing Natural Science Foundation

Publisher

Informa UK Limited

Subject

Applied Mathematics,Management Science and Operations Research,Control and Optimization

Link

https://www.tandfonline.com/doi/pdf/10.1080/02331934.2021.1928122

Reference43 articles.

1. Portfolio Selection

2. The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments

3. A mean-absolute deviation-skewness portfolio optimization model

4. Portfolio selection and skewness: Evidence from international stock markets

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