@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}, }