Improving Skewness of Mean-Variance Portfolios

Luis Zuluaga and Samuel Cox

North American Actuarial Journal, 2010, vol. 14, issue 1, 59-67

Abstract: The widely accepted belief that asset returns and insurance product line margins are not normally distributed has motivated the use of skewness (or higher than second-order moments) in the context of optimal risk-reward portfolio allocation. Here we propose an optimization-based methodology to substantially improve the skewness of portfolios in the mean-variance efficient frontier. Unlike other related methods, the proposed methodology is very intuitive, noniterative, and simple to implement, and it can be readily and efficiently carried out using state-of-the-art optimization solvers. These characteristics should be very appealing to risk managers.

Date: 2010
References: Add references at CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://hdl.handle.net/10.1080/10920277.2010.10597577 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:uaajxx:v:14:y:2010:i:1:p:59-67

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/uaaj20

DOI: 10.1080/10920277.2010.10597577

Access Statistics for this article

North American Actuarial Journal is currently edited by Kathryn Baker

More articles in North American Actuarial Journal from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().