Portfolio Selection with Skewness: A Comparison and a Generalized Two Fund Separation Result
The 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.
|Date of creation:||Sep 2011|
|Date of revision:|
|Contact details of provider:|| Web page: http://research.hubrussel.be|
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Cahiers de recherche
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