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• W2060061828 abstract "The mean-variance methodology originally proposed by Markowitz (1952) plays a crucial role in the theory of portfolio selection and gains widespread acceptance as a practical tool for portfolio optimization. Since the seminal works of Markowitz, numerous studies on portfolio selection and performance measures have been made based on only the first two moments of return distributions. However, there is a controversy over the issue of whether higher moments should be accounted for in portfolio selection. Many authors (e.g., [Arditti (1967,1971), Samuelson (1958), Rubinstein (1973), Konno et al. (1995)]) argued that the higher moments can not be neglected unless there is a reason to believe that the asset returns are normally distributed and the utility function is quadratic, or that the higher moments are irrelevant to the investor’s decision." @default.
• W2060061828 created "2016-06-24" @default.
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• W2060061828 creator A5066406123 @default.
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• W2060061828 date "2002-01-01" @default.
• W2060061828 modified "2023-09-27" @default.
• W2060061828 title "Mean-Variance-Skewness Model for Portfolio Selection with Transaction Costs" @default.
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• W2060061828 doi "https://doi.org/10.1007/978-3-642-55934-1_7" @default.
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