Mean-variance-skewness model for portfolio selection with transaction costs

International Journal of Systems Science

Volumn 34, Issue 4, 2003, Pages 255-262

  Liu, S ^a   Wang, S Y ^b,c   Qiu, W ^a  

^a BEIHANG UNIVERSITY   (China)

^b INSTITUTE OF SYSTEMS SCIENCE   (China)

^c UNIVERSITY OF TSUKUBA   (Japan)

Author keywords

[No Author keywords available]

Indexed keywords

LINEAR PROGRAMMING; MATHEMATICAL MODELS; PROBLEM SOLVING;

MEAN-VARIANCE-SKEWNESS MODEL;

SYSTEMS SCIENCE;

EID: 0142248241     PISSN: 00207721     EISSN: None     Source Type: Journal    
DOI: 10.1080/0020772031000158492     Document Type: Article

References (31)

1. ARDITTI, F. D., 1967, Risk and required return on equity. Journal of Finance, 22, 19-36.
2. ARDITTI, F. D., 1971, Another look at mutual fund performance. Journal of Financial and Quantitative Analysis, 6, 909-912.
3. BRENNAN, M. J., 1975, The optimal number of securities in a risky asset portfolio when there are fixed costs of transaction: theory and some empirical results. Journal of Financial Quantitative Analysis, 10, 483-496.
4. CHEN, A. H. Y., JEN, F. C., and ZINOTS, S., 1971, The optimal portfolio revision policy. Journal of Business, 44, 51-61.
5. DANTZIG, G. B., and INFANGER, G., 1993, Multi-stage stochastic linear programs for portfolio optimization. Annals of Operations Research, 45, 59-76.
6. FAMA, E., 1965, Portfolio analysis in a stable market. Management Science, 11, 404-419.
7. GENNOTTE, G., and JUNG, A., 1994, Investment strategies under transaction costs: the finite horizon case. Management Science, 40, 385-404.
8. HANOCH, G., and LEVY, H., 1970, Efficient portfolio selection with quadratic and cubic utility. Journal of Business, 43, 181-189.
9. JACOB, N. L., 1974, A limited-diversification portfolio selection model for the small investor. Journal of Finance, 29, 847-856.
10. KONNO, H., 1990, Piecewise linear risk functions and portfolio optimization. Journal of Operations Research Society of Japan, 33, 139-156.
11. KONNO, H., SHIRAKAWA, H., and YAMAZAKI, H., 1993, A mean-absolute deviation-skewness portfolio optimization model. Annals of Operations Research, 45, 205-220.
12. KONNO, H., and SUZUKI, K., 1992, A fast algorithm of solving large scale mean-variance models by compact factorization of covariance matrices. Journal of Operations Research Society of Japan, 35, 93-104.
13. KONNO, H., and YAMAZAKI, H., 1991, Mean-absolute deviation portfolio optimization model and its application to Tokyo Stock Exchange. Management Science, 37, 519-531.
14. KRAUS, A., and LITZENBERGER, R., 1976, Skewness preference and the valuation of risky assets. Journal of Finance, 21, 1085-1094.
15. LEVY, H., 1978, Equilibrium in an imperfect market: a constraint on the number of securities in the portfolio. American Economic Review, 68, 643-658.
16. LEVY, H., and SARNAT, M., 1972, Investment and Portfolio Analysis (New York: Wiley).
17. LI, Z. F., WANG, S. Y., and DENG, X. T., 2000, A linear programming algorithm for optimal portfolio selection with transaction costs. International Journal of Systems Science, 31, 107-117.
18. MAO, J. C. T., 1970, Essentials of portfolio diversification strategy. Journal of Finance, 25, 1109-1121.
19. MARKOWITZ, H., 1952, Portfolio selection. Journal of Finance, 7, 77-91.
20. MARKOWITZ, H., 1959, Portfolio Selection: Efficient Diversification of Investments (New York: Wiley).
21. MARKOWITZ, H., 1987, Mean-Variance Analysis in Portfolio Choice and Capital Markets (New York: Basil Blackwell).
22. MULVEY, J. M., and VLADIMIROU, H., 1992, Stochastic network programming for financial planning problems. Management Science, 38, 1642-1664.
23. PATEL, N. R., and SUBRAHMANYAM, M. G., 1982, A simple algorithm for optimal portfolio selection with fixed transaction costs. Management Science, 28, 303-314.
24. PEROLD A., 1984, Large-scale portfolio optimization. Management Science, 30, 1143-1160.
25. POGUE, G. A., 1970, An extension of the Markowitz portfolio selection model to include variable transaction costs, short sales, leverage policies and taxes. Journal of Finance, 25, 1005-1028.
26. PORNCHAI, C., KRISHNAN, D., SHAHID, H., and ARUN, J. P., 1997, Portfolio selection and skewness: Evidence from international stock markets. Journal of Banking and Finance, 21, 143-167.
27. RUBINSTEIN, M., 1973, The fundamental theorem of parameter preference security valuation. Journal of Financial and Quantitative Analysis, 8, 61-69.
28. SAMUELSON, P., 1970, The fundamental approximation of theorem of portfolio analysis in terms of means, variance and higher moments. Review of Economic Studies, 37, 537-542.
29. SIMKOWITZ, M., and BEEDLES, W., 1978, Diversification in a three moment world. Journal of Finance and Analysis, 13, 927-941.
30. WANG, S. Y., and XIA, Y. S., 2002, Portfolio Optimization and Asset Pricing (Berlin: Springer).
31. YOSHIMOTO, A., 1996, The mean-variance approach to portfolio optimization subject to transaction costs. Journal of Operations Research Society of Japan, 39, 99-117.