Effect of Intervalling and Skewness on Portfolio Selection in Developed and Developing Markets
22 Pages Posted: 1 May 2019
Date Written: March 29, 2008
Based on several research studies and in particular the theoretical study of Prakash, de Boyrie, Hamid and Smyser (1997), it is known that the variance as well as the skewness of the probability distribution of rates of return increases if the investors’ investment interval increases. In the present study, using the portfolio selection procedure developed by Lai (1991) under the presence of skewness and subsequently used by Chunhachinda, Dandapani, Hamid and Prakash (1997) and Prakash, Chang and Pactwa (2003), we find that the selection of investment interval (e.g. daily, weekly vs. monthly) significantly changes not only the optimal allocation of weights, but also the number of markets selected in the portfolio.
Keywords: Skewness, Returns, Portfolio Allocation
JEL Classification: G11, G15
Suggested Citation: Suggested Citation