Mean-Variance-Skewness-Entropy Measures: A Multi-Objective Approach for Portfolio Selection

Portfolio Selection with Robust Estimation

(2009) Victor DeMiguel et al.   OPERATIONS RESEARCH

Optimal Portfolio Diversification Using the Maximum Entropy Principle

(2008) Anil K. Bera et al.   Econometric Reviews

Multi-objective possibilistic model for portfolio selection with transaction cost

(2008) P. Jana et al.   JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

Optimal algorithms and intuitive explanations for Markowitz’s portfolio selection model and Sharpe’s ratio with no short-selling

(2008) NingZhong Shi et al.   Science in China. Series A, Mathematics, physics, astronomy

Optimal asset allocation aid system: From “one-size” vs “tailor-made” performance ratio

(2007) Simone Farinelli et al.   EUROPEAN JOURNAL OF OPERATIONAL RESEARCH

Neural network-based mean–variance–skewness model for portfolio selection

(2006) Lean Yu et al.   COMPUTERS & OPERATIONS RESEARCH