Credibilistic Mean-Variance-Skewness Model

Zhongfeng Qin

doi:10.1007/978-981-10-1810-7_2

Credibilistic Mean-Variance-Skewness Model

Zhongfeng Qin^*

^*Corresponding author for this work

School of Economics and Management

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

2 Scopus citations

Abstract

Most of the existing works on portfolio optimization have been done based on only the first two moments of return distributions. However, there is a controversy over the issue of whether higher moments should be considered in portfolio selection.

Original language	English
Title of host publication	Uncertainty and Operations Research
Publisher	Springer Nature
Pages	29-52
Number of pages	24
DOIs	https://doi.org/10.1007/978-981-10-1810-7_2
State	Published - 2016

Publication series

Name	Uncertainty and Operations Research
ISSN (Print)	2195-996X
ISSN (Electronic)	2195-9978

Keywords

Average Relative Error
Fuzzy Variable
Membership Function
Portfolio Optimization
Portfolio Return

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10.1007/978-981-10-1810-7_2

Cite this

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abstract = "Most of the existing works on portfolio optimization have been done based on only the first two moments of return distributions. However, there is a controversy over the issue of whether higher moments should be considered in portfolio selection.",

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KW - Average Relative Error

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KW - Membership Function

KW - Portfolio Optimization

KW - Portfolio Return

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Credibilistic Mean-Variance-Skewness Model

Abstract

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Keywords

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