Selecting a Portfolio with Skewness: Recent Evidence from US, European, and Latin American Equity Markets

16 Pages Posted: 21 Sep 2015

See all articles by Arun J. Prakash

Arun J. Prakash

Florida International University (FIU) - Department of Finance; Florida International University

Chun-Hao Chang

Florida International University (FIU)

Therese E Pactwa

St. John's University

Date Written: august 2003

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 investors 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.

Keywords: equity markets, European, Latin American, Skewness

Suggested Citation

Prakash, Arun Jai and Chang, Chun-Hao and Pactwa, Therese E, Selecting a Portfolio with Skewness: Recent Evidence from US, European, and Latin American Equity Markets (august 2003). Available at SSRN: https://ssrn.com/abstract=2663177 or http://dx.doi.org/10.2139/ssrn.2663177

Arun Jai Prakash (Contact Author)

Florida International University (FIU) - Department of Finance ( email )

University Park
11200 SW 8th Street
Miami, FL 33199
United States

Florida International University ( email )

Miami, FL 33199
United States

Chun-Hao Chang

Florida International University (FIU) ( email )

University Park
11200 SW 8th Street
Miami, FL 33199
United States

Therese E Pactwa

St. John's University ( email )

Staten Island, NY 10301
718-390-4314 (Phone)

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