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Selecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets

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  • Prakash, Arun J.
  • Chang, Chun-Hao
  • Pactwa, Therese E.

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File URL: http://www.sciencedirect.com/science/article/B6VCY-45R7RDY-4/2/f2bef129211839c6780b5f651a7f017d
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 27 (2003)
Issue (Month): 7 (July)
Pages: 1375-1390

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Handle: RePEc:eee:jbfina:v:27:y:2003:i:7:p:1375-1390

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Web page: http://www.elsevier.com/locate/jbf

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References

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  1. Kumar, P C & Philippatos, George C & Ezzell, John R, 1978. "Goal Programming and the Selection of Portfolios by Dual-Purpose Funds," Journal of Finance, American Finance Association, vol. 33(1), pages 303-10, March.
  2. Levy, H & Markowtiz, H M, 1979. "Approximating Expected Utility by a Function of Mean and Variance," American Economic Review, American Economic Association, vol. 69(3), pages 308-17, June.
  3. Chunhachinda, Pornchai & Dandapani, Krishnan & Hamid, Shahid & Prakash, Arun J., 1997. "Portfolio selection and skewness: Evidence from international stock markets," Journal of Banking & Finance, Elsevier, vol. 21(2), pages 143-167, February.
  4. Meric, Ilhan & Meric, Gulser, 1989. "Potential gains from international portfolio diversification and inter-temporal stability and seasonality in international stock market relationships," Journal of Banking & Finance, Elsevier, vol. 13(4-5), pages 627-640, September.
  5. Fred D. Arditti, 1967. "Risk And The Required Return On Equity," Journal of Finance, American Finance Association, vol. 22(1), pages 19-36, 03.
  6. Brown, Stephen J. & Warner, Jerold B., 1985. "Using daily stock returns : The case of event studies," Journal of Financial Economics, Elsevier, vol. 14(1), pages 3-31, March.
  7. Levy, Haim, 1973. "Stochastic Dominance, Efficiency Criteria, and Efficient Portfolios: The Multi-Period Case," American Economic Review, American Economic Association, vol. 63(5), pages 986-94, December.
  8. Singleton, J. Clay & Wingender, John, 1986. "Skewness Persistence in Common Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(03), pages 335-341, September.
  9. Kraus, Alan & Litzenberger, Robert H, 1976. "Skewness Preference and the Valuation of Risk Assets," Journal of Finance, American Finance Association, vol. 31(4), pages 1085-1100, September.
  10. Markowitz, Harry M, 1991. " Foundations of Portfolio Theory," Journal of Finance, American Finance Association, vol. 46(2), pages 469-77, June.
  11. Fogler, H. Russell & Radcliffe, Robert C., 1974. "A Note on Measurement of Skewness," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(03), pages 485-489, June.
  12. Haim Levy, 1972. "Portfolio Performance and the Investment Horizon," Management Science, INFORMS, vol. 18(12), pages B645-B653, August.
  13. Ibbotson, Roger G., 1975. "Price performance of common stock new issues," Journal of Financial Economics, Elsevier, vol. 2(3), pages 235-272, September.
  14. Rubinstein, Mark E., 1973. "The Fundamental Theorem of Parameter-Preference Security Valuation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 8(01), pages 61-69, January.
  15. Prakash, Arun J & Bear, Robert M, 1986. "A Simplifying Performance Measure Recognizing Skewness," The Financial Review, Eastern Finance Association, vol. 21(1), pages 135-44, February.
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Citations

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Cited by:
  1. Ann Marie Hibbert & Ivelina Pavlova & Joel Barber & Krishnan Dandapani, 2011. "Credit Spread Changes and Equity Volatility: Evidence from Daily Data," The Financial Review, Eastern Finance Association, vol. 46(3), pages 357-383, 08.
  2. Canela, Miguel Angel & Collazo, Eduardo Pedreira, 2007. "Portfolio selection with skewness in emerging market industries," Emerging Markets Review, Elsevier, vol. 8(3), pages 230-250, September.
  3. Wang, Jinan & Chen, Langnan, 2012. "Liquidity-adjusted conditional capital asset pricing model," Economic Modelling, Elsevier, vol. 29(2), pages 361-368.
  4. Yu, Jing-Rung & Lee, Wen-Yi, 2011. "Portfolio rebalancing model using multiple criteria," European Journal of Operational Research, Elsevier, vol. 209(2), pages 166-175, March.
  5. Tee, Kai-Hong, 2009. "The effect of downside risk reduction on UK equity portfolios included with Managed Futures Funds," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 303-310, December.
  6. Kerstens, Kristiaan & Mounier, Amine & Van de Woestyne, Ignace, 2008. "Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function," Working Papers 2008/61, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
  7. Abid, Fathi & Bahloul, Slah, 2011. "Selected MENA countries' attractiveness to G7 investors," Economic Modelling, Elsevier, vol. 28(5), pages 2197-2207, September.
  8. Briec, Walter & Kerstens, Kristiaan & Van de Woestyne, Ignace, 2013. "Portfolio selection with skewness: A comparison of methods and a generalized one fund result," European Journal of Operational Research, Elsevier, vol. 230(2), pages 412-421.
  9. Eichner, Thomas & Wagener, Andreas, 2011. "Increases in skewness and three-moment preferences," Mathematical Social Sciences, Elsevier, vol. 61(2), pages 109-113, March.
  10. Briec, Walter & Kerstens, Kristiaan & Van de Woestyne, Ignace, 2011. "Portfolio Selection with Skewness: A Comparison and a Generalized Two Fund Separation Result," Working Papers 2011/09, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
  11. Abdelaziz, Fouad Ben & Aouni, Belaid & Fayedh, Rimeh El, 2007. "Multi-objective stochastic programming for portfolio selection," European Journal of Operational Research, Elsevier, vol. 177(3), pages 1811-1823, March.
  12. Aouni, Belaid & Colapinto, Cinzia & La Torre, Davide, 2014. "Financial portfolio management through the goal programming model: Current state-of-the-art," European Journal of Operational Research, Elsevier, vol. 234(2), pages 536-545.

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