A study on the sensitivity analysis of the parameter of the generalized mean-variance-skewness model for portfolio selection problem

Sanjoy Chhatri; DEBASISH BHATTACHARYA; Binod Chandra Tripathy

doi:10.5269/bspm.65722

Sanjoy Chhatri
DEBASISH BHATTACHARYA National Institute of Technology Agartala
Binod Chandra Tripathy https://orcid.org/0000-0002-0738-652X

Abstract

In this paper, the concept of h-zigzag uncertainty distribution as a generalization of the zigzag uncertainty distribution is introduced. The same has been applied to the construction of a generalized mean-variance-skewness model of portfolio optimization. The introduced distribution has the unique feature of accommodating different types of zigzag distributions with a mere change in the value of the parameter h. The method of solution of the proposed model has been illustrated by constructing a numerical problem based on real data. A sensitivity analysis of the optimal solution in respect of the parameter h has been performed and observations are analyzed. The optimal solutions for different values of h are compared. The results developed in this article generalize and unify several existing results established by researchers.

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