- Aghamiri. S. M. (2015). Impact of uncertainty of real and monetary indices on stock returns. MSc Thesis, Azad University of Tehran, Iran. (In Farsi)
- Aksarayl, M., & Pala, O. (2018). A polynomial goal programming model for portfolio optimization based on entropy and higher moments. Journal of Expert Systems with Applications, 94, 185-192.
- Ansari, V., Salami H., & Motaghi jazi A. (2018). Investigating the effect of changes in the production of agricultural raw materials on the production of processed food products (An Input-Output Analysis). Iranian Journal of Agricultural Economics and Development Research, 49(3), 381-395. (In Farsi)
- Aracioglu, B., Demircan, F., & Soyuer, H. (2011). Mean–Variance–Skewness–Kurtosis Approach to Portfolio Optimization: An Application in Istanbul Stock Exchange. Journal of Ege Academic, 11(5), 9-17.
- Beltramea, F., Previtalib D., & Alex, Sclipa. (2018). Systematic risk and banks leverage: The role of asset quality. Journal of Finance Research Letters, 27, 113-117.
- Briec, W., Kerstens, K., & Jokung, O. (2007). Mean-Variance Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach. Journal of Management Science, 53(1), 135–149.
- Chunhachinda, P., Dandapani, K., Hamid, S., & Prakash, A.J. (1997). Portfolio Selection and Skewness: Evidence from International Stock Markets. Journal of Banking & Finance, 21, 143–167.
- Claußen, A., Lohr S., Rosch D. & Scheulec H. (2017). Valuation of systematic risk in the cross-section of credit default swap spreads. Journal of the Quarterly Review of Economics and Finance, 64:183-195.
- Farahakhsh, N,. & Norouzi, B. (2001). Analysis of Manufacturing and Export Capabilities of Iranian Food Industries. Trade Studies, 5(19),175-195. (In Farsi)
- Hajiha, Z., & Safari, F. (2018). The Examination of Relationship between Stock Systematic Risk and Skewness of Returns. Journal of Asset Management and Financing, 6(20), 1-10.
- Harris, R.D.F., Linh, H.N., & Evarist, S. (2019). Systematic Extreme Downside Risk. Journal of International Financial Markets Institutions and Money, 61, 128-142.
- Harvey, C. R., Liechty, J.C., Liechty, M.W., & Mueller P. (2010). Portfolio Selection with Higher Moments. Journal of Quantitative Finance, 10(5), 469- 485.
- Hatamifard, S. (2012). Factors Affecting the Low Performance of Food Processing and Complementary Industries: a Case Study, Zanjan Province. Iranian Journal of Agricultural economics and development research, 42-2(3), 413-421. (In Farsi)
- Hosseini Kasgari, S.H., Hosseini Yekani, S.A., & Abedi, S. (2018). Optimal Portfolio Selection of Shares of Food Industry Companies in Tehran Stock Exchange Using Combined Forecasting Method: An Application of Mean-Variance-Skewness Model. Journal of Agricultural Economics, 4(11), 81-105. (In Farsi)
- Huh, J. (2019). Measuring systematic risk with neural network factor model. Physica A: Statistical Mechanics and its Applications. In Press. doi.org/10.48550/arXiv.1809.04925
-
- Jana, P., Roy, T.K. & Mazumder, S.K. (2007). Multi- Objective Mean–Variance–Skewness Model for Portfolio Optimization. Journal of Advanced Modelling and Optimization, 9(1), 181–193.
- Jondeau, E., & Rockinger M. (2006). Optimal Portfolio Allocation under Higher Moments. Journal of European Financial Management, 12(1), 29–55.
- Konno, H., Shirakawa, H., & Yamazaki, H. (1993). A Mean-Absolute Deviation-Skewness Portfolio Optimization Model. Journal Annals of Operations Research, 45(1), 205-220.
- Lai, K. K., Yu, L., & Wang, Sh. (2006). Mean– Variance–Skewness–Kurtosis–Based Portfolio Optimization. Proceedings of First International Multi- Symposiums on Computer and Computational Sciences, 1–6. June 2006.
- Lai, T. Y. (1991). Portfolio Selection with Skewness: A Multiple - Objective Approach. Review of Quantitative Finance and Accounting, 1(3), 293–305.
- Landsman, Z., Udi, M., & Shushi, T. (2020). Analytic solution to the portfolio optimization problem in a mean variance-skewness model. The European Journal of Finance, 26(2-3), 165-178.
- Li, Q., Bia, Y., Yun, X., & Zhang, W. (2018). Portfolio selection with the effect of systematic risk diversification: formulation and accelerated gradient algorithm. Journal of Optimization Methods and Software, 34, 612-633.
- Liu, S., Wang, S.Y., & Qiu, W. (2003). Mean–Variance–Skewness Model for Portfolio Selection with Transaction Costs. International Journal of Systems Science, 34(4), 255–262.
- Maringer, D., & Parpas P. (2009). Global optimization of Higher Order Moments in Portfolio Selection. Journal of Global Optimization, 43, 219–230.
- Metaxiotis, K. (2019). A Mean–Variance–Skewness Portfolio Optimization Model. International Journal of Computer and Information Engineering, 13(2), 85- 88.
- Muijssona, C., & Satchellbc S. (2019). The role of bank funding in systematic risk transmission. Journal of Finance Research Letters, In Press. doi:10.1016/j.frl.2019.06.020
- Nabizadeh, A., & Behzadi, A. (2018). Higher Moments Portfolio Optimization Considering Entropy based on Polynomial Idealistic Programming. Journal of Financial Research, 20(2), 193-210. (In Farsi)
- Nejatipour, A., & Esmaili, A. (2015). Identify the factors affecting export of food industry products in Khorasan Razavi provience: Fuzzy Delphi approach. Iranian Journal of Agricultural Economics and Development Research, 46(3), 457- 468. (In Farsi)
- Prakash, A. J., Chang, C.H., & Pactwa, T.E. (2003). Selecting a Portfolio with Skewness: Recent Evidence from US, European, and Latin America Equity Markets. Journal of Banking and Finance, 27, 1375–1390.
- Rastgoo, R., & Panahian, H. (2018). Designing and Explaining the Systematic Risk Estimation Model using metaheuristic Method in Tehran Stock Exchange: Adaptive Approach to the Model of Econometrics and Artificial Intelligence. Journal of Financial Engineering and Securities Management, 9, 19-49.
- Ray, A., & Majumder, S. K. (2018). Multi objective mean–variance–skewness model with Burg’s entropy and fuzzy return for portfolio optimization. Journal of Opsearch, 55(1), 107–133.
- Rostami, M. R., Kalantari Bonjar, M., & Behzadi, A. (2015). Higher Moment Portfolio Optimization under Fuzzy Environment. Journal of Financial Engineering and Securities Management, 6(24), 41-61. (In Farsi)
- Shahrabadi, A. (2018).
- Sun, Q., & Yan, Y., (2003). Skewness Persistence with Optimal Portfolio Selection. Journal of Banking and Finance, 27(6), 1111–1121.
- Taylan, A. S., & Tatlıdil, H. (2010). Portfolio Optimization with Shortage Function and Higher Order Moments: An Application in ISE-30. International Conference, June 23–26, Izmir.
- Yousefi Shali, S. (2008). The Relationship between Stock Returns and Systematic Risk in Different Index Situations. MSc Thesis, Allameh Tabatabaei University. Iran. (In Farsi)
|