The literature suggests that investors prefer portfolios based on mean, variance and skewness rather than portfolios based on mean-variance (MV) criteria solely. Furthermore, a small variety of methods have been proposed to determine mean-variance-skewness (MVS) optimal portfolios. Recently, the shortage function has been introduced as a measure of efficiency, allowing to characterize MVS optimalportfolios using non-parametric mathematical programming tools. While tracing the MV portfolio frontier has become trivial, the geometric representation of the MVS frontier is an open challenge. A hitherto unnoticed advantage of the shortage function is that it allows to geometrically represent the MVS portfolio frontier. The purpose of this contribution is to systematically develop geometric representations of the MVS portfolio frontier using the shortage function and related approaches.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by IESEG School of Management in its series Working Papers with number
2008-ECO-17.
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.: