Mean-variance-skewness Portfolio Selection Model in General Uncertain Environment

@inproceedings{Bhattacharyya2012MeanvarianceskewnessPS,
  title={Mean-variance-skewness Portfolio Selection Model in General Uncertain Environment},
  author={Rupak Bhattacharyya and Amitava Chatterjee and Samarjit Kar},
  year={2012}
}
The aim of this paper is to develop mean-variance-skewness portfolio selection models in uncertain environment. Here the returns of the securities are assumed to be uncertain variables that cannot be estimated by randomness or fuzziness. The model in uncertain environment is formulated as a non-linear programming model based on uncertain programming approaches proposed by Liu in 2007. Since there is no efficient solution method to solve the proposed model, assuming the returns as some special… CONTINUE READING

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