Please use this identifier to cite or link to this item:
https://hdl.handle.net/10316/45742
Title: | Efficient skewness/semivariance portfolios | Authors: | Pedro Brito, Rui Sebastião, Hélder Godinho, Pedro |
Keywords: | portfolio selection; semivariance; skewness; multiobjective optimisation; derivative-free optimisation | Issue Date: | 28-Sep-2016 | Serial title, monograph or event: | Journal of Asset Management | Volume: | 17 | Issue: | 5 | Abstract: | This article proposes a flexible methodology for portfolio selection using a skewness/semivariance biobjective optimisation framework. The solutions of this biobjective optimisation problem allow the investor to analyse the efficient trade-off between skewness and semivariance. This methodology is used empirically on four data sets, collected from the Fama/French data library. The out-of-sample performance of the skewness/semivariance model was assessed by choosing three portfolios belonging to each in-sample Pareto frontier and measuring their performance in terms of skewness per semivariance ratio, Sharpe ratio and Sortino ratio. Both the in-sample and the out-of-sample performance analyses were conducted using three different target returns for the semivariance computations. The results show that the efficient skewness/semivariance portfolios are consistently competitive when compared with several benchmark portfolios. | URI: | https://hdl.handle.net/10316/45742 | ISSN: | 1470-8272 | DOI: | 10.1057/jam.2016.9 | Rights: | embargoedAccess |
Appears in Collections: | FEUC- Artigos em Revistas Internacionais |
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skewnessS.pdf | 476.02 kB | Adobe PDF | View/Open |
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