Skewness, sampling risk, and the importance of diversification

Sears, R. Stephen; Trennepohl, Gary L.

doi:10.1016/0148-6195(86)90018-4

Cited by 4 publications

(2 citation statements)

References 35 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…On the other hand, the relationship between diversification and skewness has also been researched in the literature [27][28][29][30]. Several studies show that the positive skewness can lead to anti-diversification as investors attempt to capture the greatest amount of positive skewness [28].…”

Section: Introductionmentioning

confidence: 99%

“…Several studies show that the positive skewness can lead to anti-diversification as investors attempt to capture the greatest amount of positive skewness [28]. For instance, Simkowitz and Beedles [27] examine the behavior of skewness of portfolio returns as the degree of diversification increases, and report that increasing the diversification results in a progressive loss of portfolio skewness.…”

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

Mean-Variance-Skewness-Entropy Measures: A Multi-Objective Approach for Portfolio Selection

Usta

Kantar

2011

Entropy

View full text Add to dashboard Cite

Abstract:In this study, we present a multi-objective approach based on a mean-varianceskewness-entropy portfolio selection model (MVSEM). In this approach, an entropy measure is added to the mean-variance-skewness model (MVSM) to generate a well-diversified portfolio. Through a variety of empirical data sets, we evaluate the performance of the MVSEM in terms of several portfolio performance measures. The obtained results show that the MVSEM performs well out-of sample relative to traditional portfolio selection models.

show abstract

Section: Introductionmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Mean-Variance-Skewness-Entropy Measures: A Multi-Objective Approach for Portfolio Selection

Usta

Kantar

2011

Entropy

View full text Add to dashboard Cite

show abstract

Fuzzy cross-entropy, mean, variance, skewness models for portfolio selection

Bhattacharyya¹,

Hossain²,

Kar

2014

Journal of King Saud University - Computer and Information Scie

View full text Add to dashboard Cite

The Analytics of the Intervaling Effect on Skewness and Kurtosis of Stock Returns

Lau

Wingender

1989

The Financial Review

View full text Add to dashboard Cite

This paper analyzes how the skewness and kurtosis of securities' returns are affected by the length of the differencing interval over which returns are measured. Hawawini's previous analysis of this “intervaling effect” on log returns is shown to be incorrect, and the correct effects are derived. While Hawawini only considered log returns, we also derived the intervaling effect on the skewness and kurtosis of “simple” returns. Our results show that the length of differencing interval has very different effects on log and simple returns, but in both cases the effects on the returns' skewness and kurtosis are substantial and also quite tractable. These results also enable us to reconcile some of the contradictory results published earlier on the intervaling effect.

show abstract

Skewness, sampling risk, and the importance of diversification

Cited by 4 publications

References 35 publications

Mean-Variance-Skewness-Entropy Measures: A Multi-Objective Approach for Portfolio Selection

Mean-Variance-Skewness-Entropy Measures: A Multi-Objective Approach for Portfolio Selection

Fuzzy cross-entropy, mean, variance, skewness models for portfolio selection

The Analytics of the Intervaling Effect on Skewness and Kurtosis of Stock Returns

Contact Info

Product

Resources

About