Mean-AVaR-Skewness-Kurtosis Optimization Portfolio Selection Model in Uncertain Environments

2024/11/25 by Omidi, Farahnaz, Torkzadeh, Leila, Nouri, Kazem
#Average Value-at-Risk #Kurtosis #Mean AVaR-skewness-kurtosis Model #Portfolio optimization #Skewness #Uncertain variables

paper · doi:10.71716/amfa.2025.91126167

Abstract

Advances in Mathematical Finance and Applications,10(2),201

Related

• Convex scalarizations of the mean-variance-skewness-kurtosis problem in portfolio selection
• Robust equilibrium strategy for mean-variance-skewness portfolio selection problem
• Portfolio Optimization Under Uncertainty
• Determining the Investment Portfolio Selection Model based on Investor Information using Multi-Criteria Decision Making in the Presence of Uncertainty
• Developing a Model to Analyze Decision Maker's Preference in Portfolio Selection