%0 Journal Article
	%A Kostas Metaxiotis
	%D 2019
	%J International Journal of Computer and Information Engineering
	%B World Academy of Science, Engineering and Technology
	%I Open Science Index 146, 2019
	%T A Mean–Variance–Skewness Portfolio Optimization Model
	%U https://publications.waset.org/pdf/10010074
	%V 146
	%X Portfolio optimization is one of the most important topics in finance. This paper proposes a mean–variance–skewness (MVS) portfolio optimization model. Traditionally, the portfolio optimization problem is solved by using the mean–variance (MV) framework. In this study, we formulate the proposed model as a three-objective optimization problem, where the portfolio's expected return and skewness are maximized whereas the portfolio risk is minimized. For solving the proposed three-objective portfolio optimization model we apply an adapted version of the non-dominated sorting genetic algorithm (NSGAII). Finally, we use a real dataset from FTSE-100 for validating the proposed model.

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