Artikel
Unique closed-form solutions of portfolio selection subject to mean-skewness-normalization constraints
This paper originally proposes two unique closed-form solutions, respectively to risky assets only and a risk-free asset existing situations, of the mean-variance-skewness (MVS) optimization model subject to mean-sknewness-normalization constraints for portfolio selection. The efficient frontier and capital allocation surface (CAS) respectively derived from the two solutions are two hyperboloids, and tangent to each other at one hyperbola referred to as the market portfolio curve. Moreover, this curve intersects the mean-skewness plane of the portfolio return wtih zero-variance (zero-risk) at a line. Calculating the distance between a point on the coincident curve with the vertex of the CAS, we present a novel ratio to measure the performance of the risk-adjusted returns of market portfolio. The ratio is similar to the Sharpe ratio, moreover, under the more realistic assumption that portfolio returns follow a skew-normal distribution, the novel ratio can quantify the degree (or absence) of market portfolio exuberance.
- Language
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Englisch
- Bibliographic citation
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Journal: Operations Research Perspectives ; ISSN: 2214-7160 ; Volume: 6 ; Year: 2019 ; Pages: 1-15 ; Amsterdam: Elsevier
- Classification
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Wirtschaft
Portfolio Choice; Investment Decisions
Optimization Techniques; Programming Models; Dynamic Analysis
- Subject
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Portfolio selection
Mean-variance-skewness optimization model
Skew-normal distribution
Unique closed-form solution
Efficient frontier
Tangency portfolio
Ratio of return versus risk
- Event
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Geistige Schöpfung
- (who)
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Lu, Xin
Liu, Qiong
Xue, Fengxin
- Event
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Veröffentlichung
- (who)
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Elsevier
- (where)
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Amsterdam
- (when)
-
2019
- DOI
-
doi:10.1016/j.orp.2018.100094
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Lu, Xin
- Liu, Qiong
- Xue, Fengxin
- Elsevier
Time of origin
- 2019
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