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|
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- Walter Briec & Kristiaan Kerstens & Octave Jokung, 2007.
"Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach,"
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- Walter Briec & Kristiaan Kerstens & Octave Jokung, 2005. "Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach," Working Papers 2005-ECO-05, IESEG School of Management.
- W. Briec & K. Kerstens & O. Jokung, 2007. "Mean-variance-skewness portfolio performance gauging: A general shortage function and dual approach," Post-Print hal-00211572, HAL.
- K. Kerstens, 2005. "Mean-Variance Skewness Portfolio Performance Gauging:A General Shortage Function and Dual Approach," Post-Print hal-00288765, HAL.
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- Shady Aboul-Enein & Georges Dionne & Nicolas Papageorgiou, 2013. "Performance analysis of a collateralized fund obligation (CFO) equity tranche," The European Journal of Finance, Taylor & Francis Journals, vol. 19(6), pages 518-553, July.
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- K. Kerstens, 2007. "Geometric Representation of the Mean-Variance-Skewness Porfolio Frontier Based upon the Shortage Function," Post-Print hal-00288790, HAL.
- 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.
- K. Kerstens & A. Mounir & I. Van de Woestyne, 2011. "Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function," Post-Print hal-00551848, HAL.
- Kristiaan Kerstens & Amine Mounir & Ignace Van de Woestyne, 2008. "Geometric Representation of the Mean-Variance-Skewness Portfolio Frontier Based upon the Shortage Function," Working Papers 2008-ECO-17, IESEG School of Management.
- Briec, Walter & Kerstens, Kristiaan, 2010. "Portfolio selection in multidimensional general and partial moment space," Journal of Economic Dynamics and Control, Elsevier, vol. 34(4), pages 636-656, April.
- W. Briec & K. Kerstens, 2007. "Portfolio selection in multidimensional general and partial moment space," Post-Print hal-00296711, HAL.
- Walter Briec & Kristiaan Kerstens, 2009. "Portfolio Selection in Multidimensional General and Partial Moment Space," Working Papers 2009-ECO-08, IESEG School of Management.
- W. Briec & K. Kerstens, 2010. "Portfolio selection in multidimensional general and partial moment space," Post-Print halshs-00473219, HAL.
- 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.
- Chun-Hao Chang & Brice Dupoyet & Arun Prakash, 2008. "Effect of intervalling and skewness on portfolio selection in developed and developing markets," Applied Financial Economics, Taylor & Francis Journals, vol. 18(21), pages 1697-1707.
- Walter Briec & Kristiaan Kerstens & Jean Baptiste Lesourd, 2001. "Single Period Markowitz Portfolio Selection, Performance Gading and Duality: A Variation on Luenberger'a Shortage Function," Working Papers 0203, Departament Empresa, Universitat Autònoma de Barcelona, revised Apr 2002. Full references (including those not matched with items on IDEAS)
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