Portfolio selection models based on characteristics of return distributions

This article concerns the problem of optimal portfolio selection. The objective of this paper is to indicate the best method and criteria for optimal portfolio selection. In order to achieve the objective six models including such optimization criteria as mean, variance, skewness, kurtosis and transaction costs are analyzed. The method of fuzzy multi-objective programming is used to transform multiple conflicting criteria into a single objective problem and to find optimal portfolios. In order to indicate the best portfolio selection model a simulation based on five years data from January 1, 2007 to December 31, 2011 was conducted. The portfolios were constructed from WIG20 stocks and WIBID 3M as risk-free asset.