Mean-variance-skewness model for portfolio selection with fuzzy returns

Xiang Li, Zhongfeng Qin and Samarjit Kar

European Journal of Operational Research, 2010, vol. 202, issue 1, 239-247

Abstract: Numerous empirical studies show that portfolio returns are generally asymmetric, and investors would prefer a portfolio return with larger degree of asymmetry when the mean value and variance are same. In order to measure the asymmetry of fuzzy portfolio return, a concept of skewness is defined as the third central moment in this paper, and its mathematical properties are studied. As an extension of the fuzzy mean-variance model, a mean-variance-skewness model is presented and the corresponding variations are also considered. In order to solve the proposed models, a genetic algorithm integrating fuzzy simulation is designed. Finally, several numerical examples are given to illustrate the modelling idea and the effectiveness of the proposed algorithm.

Keywords: Portfolio; selection; Fuzzy; variable; Mean-variance-skewness; model; Fuzzy; programming; Credibility; measure (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (57)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:202:y:2010:i:1:p:239-247

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