Portfolio Selection with Skewness: A Comparison and a Generalized Two Fund Separation Result
AbstractThe main aim of this contribution is to compare existing and newly developed techniques for geometrically representing mean-variance-skewness portfolio frontiers based on the rather widely adapted methodology of polynomial goal programming (PGP) on the one hand and the more recent approach based on the shortage function on the other hand. Moreover, we explain the working of these different methodologies in detail and provide graphical illustrations. Inspired by these illustrations, we prove a generalization of the well-known two fund separation theorem from traditional mean-variance portfolio theory.
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Bibliographic InfoPaper provided by Hogeschool-Universiteit Brussel, Faculteit Economie en Management in its series Working Papers with number 2011/09.
Length: 34 page
Date of creation: Sep 2011
Date of revision:
shortage function; PGP; efficient frontier; mean-variance; mean-skewness; mean-varianceskewness;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-02-01 (All new papers)
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