Lu, Xin; Liu, Qiong; Xue, Fengxin - In: Operations research perspectives 6 (2019), pp. 1-15
This paper originally proposes two unique closed-form solutions, respectively to risky assets only and a risk-free asset existing situations, of the mean-variance-skewness (MVS) optimization model subject to mean-sknewness-normalization constraints for portfolio selection. The efficient frontier...