KONNO, HIROSHI; YAMAMOTO, REI - In: International Journal of Theoretical and Applied … 08 (2005) 04, pp. 409-423
We will show that a mean-variance-skewness portfolio optimization model, a direct extension of the classical mean-variance model can be solved exactly and fast by using the state-of-the-art integer programming approach. This implies that we can now calculate a portfolio with maximal expected...