Effect of intervalling and skewness on portfolio selection in developed and developing markets

Chun-Hao Chang, Brice Dupoyet and Arun Prakash

Applied Financial Economics, 2008, vol. 18, issue 21, 1697-1707

Abstract: Based on several research studies and in particular the theoretical study of Prakash et al. (1997), it is known that the variance as well as the skewness of the probability distribution of rates of return increases if the investors' investment interval increases. In the present study, using the portfolio selection procedure developed by Lai (1991) under the presence of skewness and subsequently used by Chunhachinda et al. (1997) and Prakash et al. (2003), we find that the selection of investment interval (e.g. daily, weekly versus monthly) significantly changes not only the optimal allocation of weights, but also the number of markets selected in the portfolio.

Date: 2008
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DOI: 10.1080/09603100701720419

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