{"id":"https://openalex.org/W4246176696","doi":"https://doi.org/10.1080/0020772031000158492","title":"Mean-variance-skewness model for portfolio selection with transaction costs","display_name":"Mean-variance-skewness model for portfolio selection with transaction costs","publication_year":2003,"publication_date":"2003-03-01","ids":{"openalex":"https://openalex.org/W4246176696","doi":"https://doi.org/10.1080/0020772031000158492"},"language":"en","primary_location":{"id":"doi:10.1080/0020772031000158492","is_oa":false,"landing_page_url":"https://doi.org/10.1080/0020772031000158492","pdf_url":null,"source":{"id":"https://openalex.org/S129640837","display_name":"International Journal of Systems Science","issn_l":"0020-7721","issn":["0020-7721","1464-5319"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Systems Science","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5002096029","display_name":"S. Liu","orcid":null},"institutions":[{"id":"https://openalex.org/I82880672","display_name":"Beihang University","ror":"https://ror.org/00wk2mp56","country_code":"CN","type":"education","lineage":["https://openalex.org/I82880672"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"S. Liu","raw_affiliation_strings":["Management School , Beijing University of Aeronautics & Astronautics , Beijing, 100083, P.R. China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Management School , Beijing University of Aeronautics & Astronautics , Beijing, 100083, P.R. China","institution_ids":["https://openalex.org/I82880672"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5078558986","display_name":"Shouyang Wang","orcid":"https://orcid.org/0000-0001-5773-998X"},"institutions":[{"id":"https://openalex.org/I146399215","display_name":"University of Tsukuba","ror":"https://ror.org/02956yf07","country_code":"JP","type":"education","lineage":["https://openalex.org/I146399215"]},{"id":"https://openalex.org/I16609230","display_name":"Hunan University","ror":"https://ror.org/05htk5m33","country_code":"CN","type":"education","lineage":["https://openalex.org/I16609230"]},{"id":"https://openalex.org/I19820366","display_name":"Chinese Academy of Sciences","ror":"https://ror.org/034t30j35","country_code":"CN","type":"government","lineage":["https://openalex.org/I19820366"]},{"id":"https://openalex.org/I4210120485","display_name":"Academy of Mathematics and Systems Science","ror":"https://ror.org/02jkmyk67","country_code":"CN","type":"facility","lineage":["https://openalex.org/I19820366","https://openalex.org/I4210120485"]}],"countries":["CN","JP"],"is_corresponding":false,"raw_author_name":"S. Y. Wang","raw_affiliation_strings":["Institute of Systems Science Academy of Mathematics and Systems Sciences, Chinese Academy of Sciences, College of Business Administration , Hunan University , Beijing, 100080, P.R. China ; Institute of Policy and Planning , Tsukuba University , Tsukuba, Japan","Institute of Policy and Planning , Tsukuba University , Tsukuba, Japan","Institute of Systems Science Academy of Mathematics and Systems Sciences, Chinese Academy of Sciences, College of Business Administration , Hunan University , Beijing, 100080, P.R. China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Institute of Systems Science Academy of Mathematics and Systems Sciences, Chinese Academy of Sciences, College of Business Administration , Hunan University , Beijing, 100080, P.R. China ; Institute of Policy and Planning , Tsukuba University , Tsukuba, Japan","institution_ids":["https://openalex.org/I146399215","https://openalex.org/I4210120485"]},{"raw_affiliation_string":"Institute of Policy and Planning , Tsukuba University , Tsukuba, Japan","institution_ids":["https://openalex.org/I146399215"]},{"raw_affiliation_string":"Institute of Systems Science Academy of Mathematics and Systems Sciences, Chinese Academy of Sciences, College of Business Administration , Hunan University , Beijing, 100080, P.R. China","institution_ids":["https://openalex.org/I16609230","https://openalex.org/I19820366","https://openalex.org/I4210120485"]}]},{"author_position":"last","author":{"id":null,"display_name":"W. Qiu","orcid":null},"institutions":[{"id":"https://openalex.org/I82880672","display_name":"Beihang University","ror":"https://ror.org/00wk2mp56","country_code":"CN","type":"education","lineage":["https://openalex.org/I82880672"]}],"countries":["CN"],"is_corresponding":false,"raw_author_name":"W. Qiu","raw_affiliation_strings":["Management School , Beijing University of Aeronautics & Astronautics , Beijing, 100083, P.R. China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Management School , Beijing University of Aeronautics & Astronautics , Beijing, 100083, P.R. China","institution_ids":["https://openalex.org/I82880672"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":5,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":1.2546,"has_fulltext":false,"cited_by_count":97,"citation_normalized_percentile":{"value":0.8238553,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":94,"max":100},"biblio":{"volume":"34","issue":"4","first_page":"255","last_page":"262"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9805999994277954,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12709","display_name":"Optimization and Mathematical Programming","score":0.9803000092506409,"subfield":{"id":"https://openalex.org/subfields/2207","display_name":"Control and Systems Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/skewness","display_name":"Skewness","score":0.8550764322280884},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.7462686896324158},{"id":"https://openalex.org/keywords/smoothness","display_name":"Smoothness","score":0.6908469200134277},{"id":"https://openalex.org/keywords/transaction-cost","display_name":"Transaction cost","score":0.6816986203193665},{"id":"https://openalex.org/keywords/selection","display_name":"Selection (genetic algorithm)","score":0.6652300357818604},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.6475072503089905},{"id":"https://openalex.org/keywords/mertons-portfolio-problem","display_name":"Merton's portfolio problem","score":0.6076799631118774},{"id":"https://openalex.org/keywords/variance","display_name":"Variance (accounting)","score":0.5697832107543945},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.5545076727867126},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.5019490718841553},{"id":"https://openalex.org/keywords/modern-portfolio-theory","display_name":"Modern portfolio theory","score":0.4196835160255432},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3793821930885315},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.37682512402534485},{"id":"https://openalex.org/keywords/replicating-portfolio","display_name":"Replicating portfolio","score":0.3255848288536072},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.2327955663204193},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.10676759481430054},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.0898418128490448}],"concepts":[{"id":"https://openalex.org/C122342681","wikidata":"https://www.wikidata.org/wiki/Q330828","display_name":"Skewness","level":2,"score":0.8550764322280884},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.7462686896324158},{"id":"https://openalex.org/C102634674","wikidata":"https://www.wikidata.org/wiki/Q868473","display_name":"Smoothness","level":2,"score":0.6908469200134277},{"id":"https://openalex.org/C98965940","wikidata":"https://www.wikidata.org/wiki/Q877496","display_name":"Transaction cost","level":2,"score":0.6816986203193665},{"id":"https://openalex.org/C81917197","wikidata":"https://www.wikidata.org/wiki/Q628760","display_name":"Selection (genetic algorithm)","level":2,"score":0.6652300357818604},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.6475072503089905},{"id":"https://openalex.org/C114866470","wikidata":"https://www.wikidata.org/wiki/Q3467003","display_name":"Merton's portfolio problem","level":5,"score":0.6076799631118774},{"id":"https://openalex.org/C196083921","wikidata":"https://www.wikidata.org/wiki/Q7915758","display_name":"Variance (accounting)","level":2,"score":0.5697832107543945},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.5545076727867126},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5019490718841553},{"id":"https://openalex.org/C9725762","wikidata":"https://www.wikidata.org/wiki/Q1072885","display_name":"Modern portfolio theory","level":3,"score":0.4196835160255432},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3793821930885315},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.37682512402534485},{"id":"https://openalex.org/C21099588","wikidata":"https://www.wikidata.org/wiki/Q7314068","display_name":"Replicating portfolio","level":4,"score":0.3255848288536072},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.2327955663204193},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.10676759481430054},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.0898418128490448},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0},{"id":"https://openalex.org/C121955636","wikidata":"https://www.wikidata.org/wiki/Q4116214","display_name":"Accounting","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1080/0020772031000158492","is_oa":false,"landing_page_url":"https://doi.org/10.1080/0020772031000158492","pdf_url":null,"source":{"id":"https://openalex.org/S129640837","display_name":"International Journal of Systems Science","issn_l":"0020-7721","issn":["0020-7721","1464-5319"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547"],"host_organization_lineage_names":["Taylor & Francis"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Systems Science","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"},{"id":"https://openalex.org/F4320321133","display_name":"Chinese Academy of Sciences","ror":"https://ror.org/034t30j35"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":31,"referenced_works":["https://openalex.org/W566586761","https://openalex.org/W570426766","https://openalex.org/W641429144","https://openalex.org/W1974288696","https://openalex.org/W1976658031","https://openalex.org/W2015856032","https://openalex.org/W2019713892","https://openalex.org/W2023623916","https://openalex.org/W2032133531","https://openalex.org/W2038865108","https://openalex.org/W2039420625","https://openalex.org/W2041453753","https://openalex.org/W2043633286","https://openalex.org/W2045513909","https://openalex.org/W2055596203","https://openalex.org/W2059627936","https://openalex.org/W2068689926","https://openalex.org/W2070787615","https://openalex.org/W2077326041","https://openalex.org/W2100549100","https://openalex.org/W2109635221","https://openalex.org/W2124842111","https://openalex.org/W2126373180","https://openalex.org/W2141863469","https://openalex.org/W2167370664","https://openalex.org/W4230044127","https://openalex.org/W4236670843","https://openalex.org/W4238067506","https://openalex.org/W4240409345","https://openalex.org/W4241319819","https://openalex.org/W4297979693"],"related_works":["https://openalex.org/W2067268581","https://openalex.org/W2612189809","https://openalex.org/W2489358856","https://openalex.org/W2342245948","https://openalex.org/W3141254748","https://openalex.org/W639967202","https://openalex.org/W4211157640","https://openalex.org/W2367990330","https://openalex.org/W3081900971","https://openalex.org/W2131953735"],"abstract_inverted_index":{"A":[0,69],"mean-variance-skewness":[1,34],"model":[2,35],"is":[3,12,18,36,72],"proposed":[4],"for":[5],"portfolio":[6,28,66],"selection":[7,67],"with":[8],"transaction":[9,16],"costs.":[10],"It":[11],"assumed":[13],"that":[14,76],"the":[15,23,26,43,48,77],"cost":[17],"a":[19,30,37,53],"V-shaped":[20],"function":[21],"of":[22],"difference":[24],"between":[25],"existing":[27],"and":[29],"new":[31],"one.":[32],"The":[33],"non-smooth":[38],"programming":[39,55],"problem.":[40,56],"To":[41],"overcome":[42],"difficulty":[44],"arising":[45],"from":[46],"non-smoothness,":[47],"problem":[49],"was":[50],"transformed":[51],"into":[52],"linear":[54],"Therefore,":[57],"this":[58],"technique":[59],"can":[60,79],"be":[61,80],"used":[62,73,82],"to":[63,74],"solve":[64],"large-scale":[65],"problems.":[68],"numerical":[70],"example":[71],"illustrate":[75],"method":[78],"efficiently":[81],"in":[83],"practice.":[84]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2024,"cited_by_count":3},{"year":2023,"cited_by_count":5},{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":8},{"year":2020,"cited_by_count":3},{"year":2019,"cited_by_count":10},{"year":2018,"cited_by_count":3},{"year":2017,"cited_by_count":3},{"year":2016,"cited_by_count":14},{"year":2015,"cited_by_count":4},{"year":2014,"cited_by_count":4},{"year":2013,"cited_by_count":9},{"year":2012,"cited_by_count":5}],"updated_date":"2026-07-27T08:26:11.824852","created_date":"2025-10-10T00:00:00"}