Portfolio Selection with Skewness: A Comparison of Methods and a Generalized One Fund Result

Walter Briec, Kristiaan Kerstens and Ignace Van de Woestyne
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Walter Briec: Université de Perpignan
Ignace Van de Woestyne: Hogeschool Universiteit Brussel

No 2013-ECO-04, Working Papers from IESEG School of Management

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)
JEL-codes: G11 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2013-04
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

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Related works:
Journal Article: 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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