Revealed Preferences for Portfolio Selection–Does Skewness Matter?
Document Type
Article
Publication Date
8-16-2017
Description
In this article, we consider the portfolio selection problem as a Bayesian decision problem. We compare the traditional mean–variance and mean–variance–skewness efficient portfolios. We develop bi-level programming problem to investigate the market’s preference for risk by using observed (market) weights. Numerical experiments are conducted on a portfolio formed by the 30 stocks in the Dow Jones Industrial Average. Numerical results show that the market’s preferences are better explained when skewness is included.
Citation Information
Liechty, Merrill W.; and Sağlam, Ümit. 2017. Revealed Preferences for Portfolio Selection–Does Skewness Matter?. Applied Economics Letters. Vol.24(14). 968-971. https://doi.org/10.1080/13504851.2016.1243207 ISSN: 1350-4851