Efficient skewness/semivariance portfolios

Rui Brito (), Helder Sebastião and Pedro Godinho ()

Journal of Asset Management, 2016, vol. 17, issue 5, No 3, 346 pages

Abstract: Abstract This article proposes a flexible methodology for portfolio selection using a skewness/semivariance biobjective optimisation framework. The solutions of this biobjective optimisation problem allow the investor to analyse the efficient trade-off between skewness and semivariance. This methodology is used empirically on four data sets, collected from the Fama/French data library. The out-of-sample performance of the skewness/semivariance model was assessed by choosing three portfolios belonging to each in-sample Pareto frontier and measuring their performance in terms of skewness per semivariance ratio, Sharpe ratio and Sortino ratio. Both the in-sample and the out-of-sample performance analyses were conducted using three different target returns for the semivariance computations. The results show that the efficient skewness/semivariance portfolios are consistently competitive when compared with several benchmark portfolios.

Keywords: portfolio selection; semivariance; skewness; multiobjective optimisation; derivative-free optimisation (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (3)

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Working Paper: Efficient Skewness/Semivariance Portfolios (2015)
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DOI: 10.1057/jam.2016.9

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