Effect of Intervalling and Skewness on Portfolio Selection in Developed and Developing Markets

22 Pages Posted: 1 May 2019

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)

Brice V. Dupoyet

Florida International University - College of Business Administration - Finance

Date Written: March 29, 2008

Abstract

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

Prakash, Arun Jai and Chang, Chun-Hao and Dupoyet, Brice, Effect of Intervalling and Skewness on Portfolio Selection in Developed and Developing Markets (March 29, 2008). Available at SSRN: https://ssrn.com/abstract=3362620 or http://dx.doi.org/10.2139/ssrn.3362620

Arun Jai Prakash

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

Brice Dupoyet (Contact Author)

Florida International University - College of Business Administration - Finance ( email )

University Park, RB 209 A
11200 SW 8th Street
Miami, FL 33199
United States
305-348-3328 (Phone)
305-348-4245 (Fax)

Register to save articles to
your library

Register

Paper statistics

Downloads
8
Abstract Views
114
PlumX Metrics