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The optimal fund investment portfolio based on mean– variance –skewness model

Keywords: The optimal portfolio , mean–variance–skewness model

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Abstract:

This paper proposed the optimal fund investment portfolio model maximizing both expected return and skewness as well as minimizing the variance. We use fuzzy mathematics method to solve the multi-objectives model, and a numerical example of Chinese fund market is used to illustrate that the method can be efficiently used in practice.

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