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mean–variance–skewness fuzzy portfolio selection model based on intuitionistic fuzzy optimization

✍ Scribed by Guohua Chen; Zhijun Luo; Xiaolian Liao; Xing Yu; Lian Yang

Book ID
119353956
Publisher
Elsevier
Year
2011
Tongue
English
Weight
312 KB
Volume
15
Category
Article
ISSN
1877-7058

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## Abstract A new optimal portfolio selection method within the Markowitz mean–variance framework is presented in this paper. The model proposed in the paper includes expected return, trading risk, and in particular, a quadratic form in the transaction costs of the portfolio. Using this model yield