Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function

Kristiaan Kerstens, Amine Mounier () and Ignace Van de Woestyne ()
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Amine Mounier: Hogeschool-Universiteit Brussel (HUB), Belgium
Ignace Van de Woestyne: Hogeschool-Universiteit Brussel (HUB), Belgium

No 2008/61, Working Papers from Hogeschool-Universiteit Brussel, Faculteit Economie en Management

Abstract: 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 meanvariance-skewness (MVS) optimal portfolios. Recently, the shortage function has been introduced as a measure of efficiency, allowing to characterize MVS optimal portfolios 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.

Keywords: shortage function; efficient frontier; mean-variance-skewness efficiency (search for similar items in EconPapers)
Pages: 32 pages
Date: 2008-11-18
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Citations: View citations in EconPapers (1)

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http://lirias.hubrussel.be/handle/123456789/2252 (application/pdf)

Related works:
Journal Article: Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function (2011)
Working Paper: Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function (2011)
Working Paper: Geometric Representation of the Mean-Variance-Skewness Portfolio Frontier Based upon the Shortage Function (2008)
Working Paper: Geometric Representation of the Mean-Variance-Skewness Porfolio Frontier Based upon the Shortage Function (2007)
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