Portafolio selection with skewness: a comparison of methods and a generalized two fund separation result

• Autores: Walter Briec, Kristiaan Kerstens, I. Van de Woestyne
• Localización: Documents de Treball ( Universitat Autònoma de Barcelona. Departament d'Economia de l'Empresa ), ISSN-e 1988-7736, Nº. 3, 2011
• Idioma: inglés
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• Resumen

  • This contribution compares existing and newly developed techniques for geometrically representing mean-variances-kewness portfolio frontiers based on the rather widely adapted methodology of polynomial goal programming (PGP) on the one hand and the more recent approach based on the shortage function on the other hand. Moreover, we explain the working of these different methodologies in detail and provide graphical illustrations. Inspired by these illustrations, we prove a generalization of the well-known two fund separation theorem from traditionalmean-variance portfolio theory.