@article{(Open Science Index):https://publications.waset.org/pdf/10010074,
	  title     = {A Mean–Variance–Skewness Portfolio Optimization Model},
	  author    = {Kostas Metaxiotis},
	  country	= {},
	  institution	= {},
	  abstract     = {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.
},
	    journal   = {International Journal of Computer and Information Engineering},
	  volume    = {13},
	  number    = {2},
	  year      = {2019},
	  pages     = {85 - 88},
	  ee        = {https://publications.waset.org/pdf/10010074},
	  url   	= {https://publications.waset.org/vol/146},
	  bibsource = {https://publications.waset.org/},
	  issn  	= {eISSN: 1307-6892},
	  publisher = {World Academy of Science, Engineering and Technology},
	  index 	= {Open Science Index 146, 2019},
	}