2007
DOI: 10.1287/mnsc.1060.0596
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Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach

Abstract: This paper proposes a nonparametric efficiency measurement approach for the static portfolio selection problem in mean-variance-skewness space. A shortage function is defined that looks for possible increases in return and skewness and decreases in variance. Global optimality is guaranteed for the resulting optimal portfolios. We also establish a link to a proper indirect mean-variance-skewness utility function. For computational reasons, the optimal portfolios resulting from this dual approach are only locall… Show more

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Cited by 172 publications
(123 citation statements)
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“…As the multi-horizon analysis by Morey and Morey (1999) in several ways. Joro and Na (2006) suggested a cubic-constrained mean-variance-skewness framework similarly to Briec et al (2007), who consider both skewness and mean return as outputs. In the particular case of higher moments, the literature is not entirely conclusive on the role of kurtosis, although some authors such as Guo et al (2012) argue convincingly for its inclusion, based on the more effective performance evaluation for investors when including not only skewness but also kurtosis (as an input).…”
Section: Inputs and Outputs Selectionmentioning
confidence: 99%
“…As the multi-horizon analysis by Morey and Morey (1999) in several ways. Joro and Na (2006) suggested a cubic-constrained mean-variance-skewness framework similarly to Briec et al (2007), who consider both skewness and mean return as outputs. In the particular case of higher moments, the literature is not entirely conclusive on the role of kurtosis, although some authors such as Guo et al (2012) argue convincingly for its inclusion, based on the more effective performance evaluation for investors when including not only skewness but also kurtosis (as an input).…”
Section: Inputs and Outputs Selectionmentioning
confidence: 99%
“…may exist discontinuity) and emphasizes the importance of establishing a theoretical foundation to guide empirical studies. Briec et al (2007), instead of solving the efficient frontier directly, propose a shortage function which guides the search of efficient portfolio in the mean-variance-skewness space. Their development is based on a dual approach and does not provide separation results or direct characterization of the efficient frontier.…”
Section: Simaan's Framework Vs Other Higher Moments Portfolio Selectmentioning
confidence: 99%
“…The mean-variance efficient frontier is spanned by two funds and the two-fund separation simplifies the calculation of efficient portfolios. The portfolio selection with higher moments however have several frameworks (Simaan 1993, Athayde & Flôres 2004, Briec et al 2007, Mencía & Sentana 2009, and Low et al 2012. Although each of these frameworks has its own merits, the lack of a unified framework is certainly a drawback.…”
Section: Introductionmentioning
confidence: 99%
“…Iš išanalizuotos portfelio optimizavimo literatūros matyti, kad vis dažniau mokslininkai padaro išvadą, kad į investicijų portfelio sudarymo uždavinį prie pelningumo ir rizikos tikslinga įtraukti papildomus parametrus ir kad portfelio optimizavimas turi būti daugiakriterinis (Steuer et al 2007(Steuer et al , 2008. Kaip trečiasis parametras buvo naudojamas likvidumas (Jana et al 2009;Lo et al 2003), asimetrija (Prakash et al 2003;Konno et al 1993;Konno, Yamamoto 2005;Briec et al 2005;Kerstens et al 2008), plotis arba neapibrėžtumas (Smimou et al 2008), sąlyginė rizikuojamoji vertė -CVaR (Aboulaich et al 2010). Kai kuriais atvejais rizikai portfelyje išreikšti naudotas ne klasikinis standartinis nuokrypis, o kiti matai -absoliutus ir semiabsoliutus nuokrypis (Fang et al 2006), rizikuojamoji vertė (VaR) (Soler et al 2010).…”
Section: įVadasunclassified