A three-moment based portfolio selection model

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Abstract

This article studies a portfolio selection model based on Expected return, Variance and Skewness (E-V-S), under a distributional hypothesis that allows 3-funds separation. The efficient portfolio is the solution of a non-linear problem that maximizes skewness under a specified level of expected return and variance. The analysis of the efficient frontier shows that the return of any efficient portfolio is the sum of a riskless return (if available), a variance premium and a skewness discount. Furthermore, the strategy based on the maximization of skewness is equivalent to adding a definite non-zero arbitrage portfolio (with null expected return) to an efficient E-V portfolio.

Keywords

Portfolio Selection Expected Return Risky Asset Efficient Frontier Return Distribution 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Un modello di selezione del portafoglio basato su tre momenti

Riassunto

Questo lavoro studia un modello di selezione del portafoglio basato su rendimento atieso, varianza e indice di asimmetria (skewness), nell’ipotesi che la distribuzione congiunta dei rendimenti consenta la separazione in tre fondi mutui. Il portafoglio efficiente è soluzione di un problema non lineare che massinizza loskewness dato un certo rendimento atteso e una certa varianza. L’analisi della frontiere efficiente mostra che il rendimento di un qualsiasi portafoglio cfficiente risulta dalla somma del rendimento certo (qualora questo sia disponibile), un premio sulla varianza e uno sconto sulloskewness. Inoltre la strategia basata sulla massimizzazione delloskewness di portafoglio risulta equivalente all’aggiungere un portafoglio di arbitraggio non nullo (che conferisco rendimento atteso nullo) ad un portafoglio efficiente secondo il criterio media-varianza.

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Copyright information

© Associazione per la Matematica Applicata alle Scienze Economiche e Sociali (AMASES) 1998

Authors and Affiliations

  1. 1.Dipartimento di Matematica ApplicataUniversità Ca’ Foscari di VeneziaVenezia
  2. 2.Istituto di Matematica, Facoltà di EconomiaUniversità di VeronaVeronaItaly

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