Original Research Article

Article volume = 2022 and issue = 2

Pages: 149–153

Article publication Date: November 21, 2022

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Geometric Portfolio Optimization based on Skewness Maximization and Monte Carlo Simulation

Parastoo Kabi-Nejad

Iran University of Science and Technology, Tehran, Iran.


Optimum portfolio selection is one of the financial issues that has been studied in various ways in recent decades. One of the important factors in the portfolio selection is to consider the behavior of returns distribution. In this paper, it is assumed that returns are skew normal distribution, and under skewness with risk optimum portfolio is examined. Optimality and simulation results considering the skewness showed that this method is more effective than Markowitz traditional method.


Portfolio optimization, Geometric mean return, Monte Carlo simulation - Skew-normal distribution.

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Cite this article as:
  • Parastoo Kabi-Nejad, Geometric Portfolio Optimization based on Skewness Maximization and Monte Carlo Simulation, Communications in Combinatorics, Cryptography & Computer Science, 2022(2), PP.149–153, 2022
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