Portfolio selection with skewness: A multiple-objective approach |
| |
Authors: | Tsong-Yue Lai |
| |
Institution: | (1) Department of Finance, School of Business Administration and Economics, California State University, 92634 Fullerton, CA |
| |
Abstract: | In the presence of skewness, the portfolio selection entails considering competing and conflicting objectives, such as maximizing
both its expected returns and skewness, and minimizing its risk for decreasing absolute risk-aversion investors. Since it
is unlikely that a portfolio can solve the multiple-objectives problem simultaneously, a portfolio selection must depend on
the investor's preference among objectives. This article shows that investor preference can be incorporated into a polynomial
goal programming problem from which a portfolio selection with skewness is determined. An inefficient mean-variance portfolio
may be optimal in the mean-variance-skewness content. The features of applying polynomial goal programming in portfolio selection
are 1) the existence of an optimal solution, 2) the flexibility of the incorporation of investor preference, and 3) the relative
simplicity of computational requirements. |
| |
Keywords: | skewness portfolio selection multiple-objectives approach preference |
本文献已被 SpringerLink 等数据库收录! |
|