Portfolio selection with skewness in emerging market industries |
| |
| Institution: | 1. Hanken School of Economics, Department of Finance and Statistics, Arkadiankatu, 22, 00101 Helsinki, Finland;2. Durham University Business School, Mill Hill Lane, Durham DH1 3LB, UK;1. RiskLab, Department of Mathematics, ETH Zurich, Raemistrasse 101, 8092 Zurich, Switzerland;2. FinAnalytica Inc. Sofia, 21 Srebarna Str., Floor 5, 1407 Sofia, Bulgaria;3. Department of Mathematical Stochastics, University of Freiburg, Eckerstr. 1, 79104 Freiburg, Germany |
| |
| Abstract: | In the presence of skewness, portfolio selection requires to consider competing and conflicting objectives. We utilize polynomial goal programming to determine the optimal portfolio from emerging markets industries. This paper is concerned with an industry level analysis of the effects of portfolio selection when the skewness is taken into account. We have found that the incorporation of skewness into an investor's portfolio decision provokes a great change in the resulting optimal portfolio allocation. This evidence suggests that individuals trade expected return for skewness. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
