Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function.
Kristiaan KerstensAmine MounirIgnace Van de WoestynePublished in: Eur. J. Oper. Res. (2011)
Keyphrases
- portfolio selection
- portfolio management
- portfolio optimization
- object recognition
- image representation
- utility function
- multi valued
- geometric structure
- data sets
- piecewise linear
- standard deviation
- geometric features
- financial markets
- image features
- transaction costs
- genetic algorithm
- database
- investment strategies
- geometric modeling