Mean-variance-skewness model for portfolio selection with fuzzy returns

Numerous empirical studies show that portfolio returns are generally asymmetric, and investors would prefer a portfolio return with larger degree of asymmetry when the mean value and variance are same. In order to measure the asymmetry of fuzzy portfolio return, a concept of skewness is defined as the third central moment in this paper, and its mathematical properties are studied. As an extension of the fuzzy mean-variance model, a mean-variance-skewness model is presented and the corresponding variations are also considered. In order to solve the proposed models, a genetic algorithm integrating fuzzy simulation is designed. Finally, several numerical examples are given to illustrate the modelling idea and the effectiveness of the proposed algorithm.