Selecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets Article

Prakash, AJ, Chang, CH, Pactwa, TE. (2003). Selecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets . JOURNAL OF BANKING & FINANCE, 27(7), 1375-1390. 10.1016/S0378-4266(02)00261-3

cited authors

  • Prakash, AJ; Chang, CH; Pactwa, TE

authors

abstract

  • Polynomial goal programming, in which investor preferences for skewness can be incorporated, is utilized to determine the optimal portfolio from Latin American, US and European capital markets. The empirical findings suggest that the incorporation of skewness into an investor's portfolio decision causes a major change in the resultant optimal portfolio. The empirical evidence indicates that investors do trade expected return of the portfolio for skewness. © 2003 Elsevier Science B.V. All rights reserved.

publication date

  • July 1, 2003

published in

Digital Object Identifier (DOI)

start page

  • 1375

end page

  • 1390

volume

  • 27

issue

  • 7