A compact mean-variance-skewness model for large-scale portfolio optimization and its application to the NYSE market

Journal of the Operational Research Society

Volumn 58, Issue 4, 2007, Pages 505-515

  Ryoo, H S ^a  

^a Korea University   (South Korea)

Author keywords

Compact factorization; Fractional programming; Multiobjective; NYSE; Portfolio optimization; Skewness

Indexed keywords

COMPUTATIONAL METHODS; MARKETING; MATHEMATICAL MODELS; OPTIMIZATION; QUADRATIC PROGRAMMING;

COMPACT FACTORIZATION; FRACTIONAL PROGRAMMING; NYSE MARKETS; PORTFOLIO OPTIMIZATION; SKEWNESS;

INVESTMENTS;

EID: 33947389938     PISSN: 01605682     EISSN: 14769360     Source Type: Journal    
DOI: 10.1057/palgrave.jors.2602168     Document Type: Article

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