Multi-objective mean-variance-skewness model for portofolio optimization

Multi-objective non-linear programs occur in various fields of operation research. One of the application of such program portfolio selection problem. In recent years portfolio optimization models that consider more criteria than the standard expected return and variance objectives of the widely used Markowitz model. In this paper first a mean-variance-skewness model is proposed for portfolio selection and next added another entropy objective function to generate well-diversified asset portfolio within optimal asset allocation. Fuzzy programming technique is used to solve the problems. A numerical example is used to illustrate that the method can be efficiently used inpractice.