Portfolio selection with skewness: A comparison of methods and a generalized one fund result

Walter Briec, Kristiaan Kerstens and Ignace Van de Woestyne

European Journal of Operational Research, 2013, vol. 230, issue 2, 412-421

Abstract: This contribution compares 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 in relation to the goal programming literature in operations research. Inspired by these illustrations, we prove two new results: a formal relation between both approaches and a generalization of the well-known one fund separation theorem from traditional mean–variance portfolio theory.

Keywords: Shortage function; PGP; Efficient frontier; Mean–variance; Mean–variance–skewness (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (17)

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Related works:
Working Paper: Portfolio selection with skewness: a comparison of methods and a generalized one fund result (2013)
Working Paper: Portfolio Selection with Skewness: A Comparison of Methods and a Generalized One Fund Result (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:230:y:2013:i:2:p:412-421

DOI: 10.1016/j.ejor.2013.04.021

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