Justifying Mean-Variance Portfolio Selection when Asset Returns Are Skewed.

Frank Schuhmacher Hendrik Kohrs Benjamin R. Auer

Published in: Manag. Sci. (2021)

Keyphrases

portfolio selection
sharpe ratio
portfolio optimization
financial markets
portfolio management
transaction costs
multistage stochastic
multiple objectives
robust optimization
stock market
stock price
decision making
long term
risk management
investment decisions
optimal portfolio