Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function

European Journal of Operational Research

Volumn 210, Issue 1, 2011, Pages 81-94

  Kerstens, Kristiaan ^a   Mounir, Amine ^b   Van De Woestyne, Ignace ^c  

^a IESEG SCHOOL OF MANAGEMENT   (France)

^b Mundiapolis University   (Morocco)

^c HOGESCHOOL UNIVERSITEIT BRUSSEL   (Belgium)

Author keywords

Efficient frontier; Mean variance skewness efficiency; Shortage function

Indexed keywords

EFFICIENT FRONTIER; GEOMETRIC REPRESENTATION; MEAN VARIANCE; NON-PARAMETRIC; OPTIMAL PORTFOLIOS; SHORTAGE FUNCTION;

GEOMETRY; MATHEMATICAL PROGRAMMING;

FUNCTIONS;

EID: 78650863637     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2010.09.014     Document Type: Article

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