Please use this identifier to cite or link to this item:
https://hdl.handle.net/10316/45742
DC Field | Value | Language |
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dc.contributor.author | Pedro Brito, Rui | - |
dc.contributor.author | Sebastião, Hélder | - |
dc.contributor.author | Godinho, Pedro | - |
dc.date.accessioned | 2018-01-06T23:36:20Z | - |
dc.date.issued | 2016-09-28 | - |
dc.identifier.issn | 1470-8272 | por |
dc.identifier.uri | https://hdl.handle.net/10316/45742 | - |
dc.description.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. | por |
dc.description.sponsorship | Rui Pedro Brito was funded by the Portuguese National Funding Agency for Science, Research and Technology (FCT) under the scholarship SFRH/BD/94778/2013. | por |
dc.language.iso | eng | por |
dc.rights | embargoedAccess | - |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-sa/4.0/ | por |
dc.subject | portfolio selection | por |
dc.subject | semivariance | por |
dc.subject | skewness | por |
dc.subject | multiobjective optimisation | por |
dc.subject | derivative-free optimisation | por |
dc.title | Efficient skewness/semivariance portfolios | por |
dc.type | article | - |
degois.publication.firstPage | 331 | por |
degois.publication.lastPage | 346 | por |
degois.publication.issue | 5 | por |
degois.publication.title | Journal of Asset Management | por |
dc.relation.publisherversion | https://link.springer.com/article/10.1057%2Fjam.2016.9 | por |
dc.peerreviewed | yes | por |
dc.identifier.doi | 10.1057/jam.2016.9 | por |
degois.publication.volume | 17 | por |
dc.date.embargo | 2019-01-06T23:36:20Z | - |
uc.controloAutoridade | Sim | - |
item.fulltext | Com Texto completo | - |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
item.languageiso639-1 | en | - |
item.openairetype | article | - |
item.cerifentitytype | Publications | - |
item.grantfulltext | open | - |
crisitem.author.researchunit | CeBER – Centre for Business and Economics Research | - |
crisitem.author.researchunit | Group for Monetary and Financial Studies | - |
crisitem.author.researchunit | CeBER – Centre for Business and Economics Research | - |
crisitem.author.researchunit | CeBER – Centre for Business and Economics Research | - |
crisitem.author.orcid | 0000-0002-7871-7058 | - |
crisitem.author.orcid | 0000-0002-1743-6869 | - |
crisitem.author.orcid | 0000-0003-2247-7101 | - |
Appears in Collections: | FEUC- Artigos em Revistas Internacionais |
Files in This Item:
File | Description | Size | Format | |
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skewnessS.pdf | 476.02 kB | Adobe PDF | View/Open |
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