This paper proposes a nonparametric efficiency measurement approach for the static portfolio selection problem in mean-variance-skewness space. A shortage function is defined that looks for possible increases in return and skewness and decreases in variance. Global optimality is guaranteed for...

We consider a multiperiod mean-variance model where the model parameters change according to a stochastic market. The mean vector and covariance matrix of the random returns of risky assets all depend on the state of the market during any period where the market process is assumed to follow a...

In this paper we propose a heuristic approach based on bacterial foraging optimization (BFO) in order to find the efficient frontier associated with the portfolio optimization (PO) problem. The PO model with cardinality and bounding constraints is a mixed quadratic and integer programming...

Using geometric illustrations, we investigate what implications of portfolio optimization in equilibrium can be generated by the simple mean-variance framework, under margin borrowing restrictions. First, we investigate the case of uniform marginability on all risky assets. It is shown that...

We consider a multiperiod mean-variance model where the model parameters change according to a stochastic market. The mean vector and covariance matrix of the random returns of risky assets all depend on the state of the market during any period where the market process is assumed to follow a...

This work gives a brief overview of the portfolio selection problem following the mean-risk approach first proposed by Markowitz (1952). We consider various risk measures, i.e. variance, value-at-risk and expected-shortfall and we study the efficient frontiers obtained by solving the portfolio...

In a traditional mean-variance approach a portfolio is represented by the allocation vector optimized in terms of expected returns and variances. Basic assumption is that the allocation vector may only be the driver of a portfolio risk-reward trade-off, while all constituent assets are fully...