A MEAN-VARIANCE-SKEWNESS MODEL: ALGORITHM AND APPLICATIONS

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  • HIROSHI KONNO
    Department of Industrial and Systems Engineering, Chuo University, 1-13-27 Kasuga, Bunkyo-Ku, Tokyo 112-8551, Japan
  • REI YAMAMOTO
    Department of Industrial and Systems Engineering, Chuo University, 1-13-27 Kasuga, Bunkyo-Ku, Tokyo 112-8551, Japan

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<jats:p> 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 utility for any decreasing risk averse utility function. </jats:p><jats:p> Also, we will show that this model can be used as a practical tool for constructing a portfolio when the asset returns follow skewed distribution. As an example, we apply this model to construct an index plus alpha portfolio. </jats:p>

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