Download This PaperSelecting a Portfolio with Skewness: Recent Evidence from US, European, and Latin American Equity Markets
16 Pages Posted: 21 Sep 2015
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: 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
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