Multi-objective portfolio selection with skewness preference: An application to the stock and electricity markets / Karoon Suksonghong
The mean-variance (MV) efficient portfolios (Markowitz, 1952) are obtained by searching for portfolios that attain the global minimum variance at a given level of expected return. However, MV efficient portfolios may not yield superior result due to the fact that the distribution of returns to finan...
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http://studentsrepo.um.edu.my/4592/http://studentsrepo.um.edu.my/4592/1/APPENDIX_A.pdf
http://studentsrepo.um.edu.my/4592/2/APPENDIX_B.pdf
http://studentsrepo.um.edu.my/4592/3/APPENDIX_C.pdf
http://studentsrepo.um.edu.my/4592/4/CHAPTERS.pdf
http://studentsrepo.um.edu.my/4592/5/COVER.pdf
http://studentsrepo.um.edu.my/4592/6/LIST_OF_PUBLICATIONS_AND_PAPERS_PRESENTED.pdf
http://studentsrepo.um.edu.my/4592/7/PREFACE.pdf