Location via proxy:   [ UP ]  
[Report a bug]   [Manage cookies]                
create a website

Portfolio Selection with Skewness: A Comparison and a Generalized Two Fund Separation Result. (2011). Kerstens, Kristiaan ; Van de Woestyne, Ignace ; Briec, Walter.
In: Working Papers.
RePEc:hub:wpecon:201109.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 43

References cited by this document

Cocites: 30

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. (1998): Investment Science. Oxford University Press, Oxford.
    Paper not yet in RePEc: Add citation now
  2. (2008b): âOptimum Allocation of Weights to Assets in a Portfolio: The Case of Nominal Anualization versus Eïective Anualization of Returns,â Applied Financial Economics, 18(20), 1635â1646.
    Paper not yet in RePEc: Add citation now
  3. Aboul-Enein, S., G. Dionne, and N. Papageorgiou (2011): âPerformance Analysis of a Collateralized Fund Obligation (CFO) Equity Tranche,â European Journal of Finance, forthcoming.

  4. Anagnostopoulos, K., and M. Mamanis (2010): âA Portfolio Optimization Model with Three Objectives and Discrete Variables,â Computers & Operations Research, 37(7), 1285â1297.
    Paper not yet in RePEc: Add citation now
  5. Anson, M. (2006): Handbook of Alternative Assets. Wiley, New York, 2nd edn.
    Paper not yet in RePEc: Add citation now
  6. Anson, M., H. Ho, and K. Silberstein (2007): âBuilding a Hedge Fund Portfolio with Kurtosis and Skewness,â Journal of Alternative Investments, 10(1), 25â34.
    Paper not yet in RePEc: Add citation now
  7. Athayde, G., and R. FlËores (2004): âFinding a Maximum Skewness Portfolio: A General Solution to Three-Moments Portfolio Choice,â Journal of Economic Dynamics and Control, 28(7), 1335â1352.

  8. Boyle, P., and B. Ding (2005): âPortfolio Selection with Skewness,â in Numerical Methods in Finance, ed. by M. Breton, and H. Ben-Ameur, pp. 227â240. Springer, Berlin.

  9. Briec, W., and K. Kerstens (2010): âPortfolio Selection in Multidimensional General and Partial Moment Space,â Journal of Economic Dynamics and Control, 34(4), 636â656.

  10. Briec, W., K. Kerstens, and J. Lesourd (2004): âSingle Period Markowitz Portfolio Selection, Performance Gauging and Duality: A Variation on the Luenberger Shortage Function,â Journal of Optimization Theory and Applications, 120(1), 1â27.

  11. Briec, W., K. Kerstens, and O. Jokung (2007): âMean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach,â Management Science, 53(1), 135â149.

  12. Brodie, J., I. Daubechies, C. De Mol, D. Giannone, and I. Loris (2009): âSparse and stable Markowitz portfolios,â Proceedings of the National Academy of Sciences, 106(30), 12267â12272.

  13. Canela, M., and E. Colloza (2007): âPortfolio Selection with Skewness in Emerging Market Industries,â Emerging Markets Review, 8(3), 230â250.

  14. Cantaluppi, L., and R. Hug (2000): âEïciency Ratio: A New Methodology for Performance Measurement,â Journal of Investing, 9(2), 1â7.
    Paper not yet in RePEc: Add citation now
  15. Chang, C.-H., B. Dupoyet, and A. Prakash (2008a): âEïect of Intervalling and Skewness on Portfolio Selection in Developed and Developing Markets,â Applied Financial Economics, 18(21), 1697â1707.

  16. Chen, H.-H. (2008): âValue-at-Risk Eïcient Portfolio Selection Using Goal Programming,â Review of Paciïc Basin Financial Markets and Policies, 11(2), 187â200.

  17. Chen, H.-H., and B.-C. Shia (2007): âMultinational Portfolio Construction Using Polynomial Goal Programming and Lower Partial Moments,â Journal of the Chinese Statistical Association, 45(1), 130â143.
    Paper not yet in RePEc: Add citation now
  18. Chunhachinda, P., K. Dandapani, S. Hamid, and A. J. Prakash (1997): âPortfolio Selection and Skewness: Evidence from International Stock Markets,â Journal of Banking and Finance, 21(2), 143â167.

  19. Davies, R., H. Kat, and S. Lu (2009): âFund of Hedge Funds Portfolio Selection: A MultipleObjective Approach,â Journal of Derivatives and Hedge Funds, 15(2), 91â115.
    Paper not yet in RePEc: Add citation now
  20. DeMiguel, V., L. Garlappi, and R. Uppal (2009): âOptimal Versus Naive Diversiïcation: How Ineïcient is the 1/N Portfolio Strategy?,â Review of Financial Studies, 22(5), 1915â1953.
    Paper not yet in RePEc: Add citation now
  21. Elkaim, A., and N. Papageorgiou (2006): âOptimal Fund of Funds Asset Allocation: Hedge funds, CTAs, and REITs,â in Funds of Hedge Funds: Performance, Assessment, Diversiïcation and Statistical Properties, ed. by G. Gregoriou, pp. 79â98. Butterworth-Heinemann, Oxford.

  22. Hafner, R., and M. Wallmeier (2008): âOptimal Investments in Volatility,â Financial Markets and Portfolio Management, 22(2), 147â167.

  23. Harvey, C., J. Liechty, M. Liechty, and P. Muller (2010): âPortfolio Selection with Higher Moments,â Quantitative Finance, 10(5), 469â485.

  24. Jondeau, E., and M. Rockinger (2006): âOptimal Portfolio Allocation Under Higher Moments,â European Financial Management, 12(1), 29â55.

  25. Jurczenko, E., and G. Yanou (2010): âFund of Hedge Funds Portfolio Selection: A Robust Non-parametric Multi-moment Approach,â in The Recent Trend of Hedge Fund Strategies, ed. by Y. Watanabe, pp. 21â56. Nova Science, New York.
    Paper not yet in RePEc: Add citation now
  26. Jurczenko, E., M. Maillet, and P. Merlin (2006): âHedge Funds Portfolio Selection with Higher order Moments: A Nonparametric Mean-Variance-Skewness-Kurtosis Eïcient Frontier,â in Multi-moment Asset Allocation and Pricing Models, ed. by E. Jurczenko, and B. Maillet, pp. 51â66. Wiley, New York.

  27. Kerstens, K., A. Mounir, and I. Van de Woestyne (2011): âGeometric Representation of the Mean-Variance-Skewness Portfolio Frontier Based upon the Shortage Function,â European Journal of Operational Research, 210(1), 81â94.

  28. Konno, H., H. Shirakawa, and H. Yamazaki (1993): âA mean-absolute deviation-skewness portfolio optimization model,â Annals of Operations Research, 45(1), 205â220.
    Paper not yet in RePEc: Add citation now
  29. Kosmidou, K., and C. Zopounidis (2004): Goal Programming Techniques for Bank Asset Liability Management. Kluwer, New York.
    Paper not yet in RePEc: Add citation now
  30. Lai, T. Y. (1991): âPortfolio Selection with Skewness: A Multiple-Objective Approach,â Review of Quantitative Finance and Accounting, 1(3), 293â305.
    Paper not yet in RePEc: Add citation now
  31. Leung, M., H. Daouk, and A. Chen (2001): âUsing Investment Portfolio Return to Combine Forecasts: A Multiobjective Approach,â European Journal of Operational Research, 134(1), 84â 102.

  32. Li, X., Z. Qin, and S. Kar (2010): âMean-Variance-Skewness Model for Portfolio Selection with Fuzzy Returns,â European Journal of Operational Research, 202(1), 239â247.

  33. Lozano, S., and E. Guttierez (2008): âTSD-Consistent Performance Assessment of Mutual Funds,â Journal of the Operational Research Society, 59(10), 1352â1362.
    Paper not yet in RePEc: Add citation now
  34. Luenberger, D. (1995): Microeconomic Theory. McGraw-Hill, New York.
    Paper not yet in RePEc: Add citation now
  35. Muller, S., and M. Machina (1987): âMoment Preferences and Polynomial Utility,â Economics Letters, 23(4), 349â353.

  36. Prakash, A. J., C. H. Chang, and T. E. Pactwa (2003): âSelecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets,â Journal of Banking and Finance, 27(7), 1375â1390.

  37. Roman, D., K. Darby-Dowman, and G. Mitra (2007): âMean-Risk Models using Two Risk Measures: A Multi-objective Approach,â Quantitative Finance, 7(4), 443â458.

  38. Spronk, J., R. Steuer, and C. Zopounidis (2005): âMulticriteria Decision Aid/Analysis in Finance,â in Multiple Criteria Decision Analysis-State of the Art Surveys, ed. by J. Figueira, S. Greco, and M. Ehrgott, pp. 799â857. Springer.

  39. Steuer, R., Y. Qi, and M. Hirschberger (2008): âPortfolio Selection in the Presence of Multiple Criteria,â in Handbook of Financial Engineering, ed. by C. Zouponidis, M. Doumpos, and P. Pardalos, pp. 3â24. Springer, Berlin.

  40. Sun, Q., and Y. Yan (2003): âSkewness Persistence with Optimal Portfolio Selection,â Journal of Banking and Finance, 27(6), 1111â1121.

  41. Wang, S., and Y. Xia (2002): Portfolio Selection and Asset Pricing. Springer, Berlin.
    Paper not yet in RePEc: Add citation now
  42. Wu, L.-C., S.-C. Chou, C.-C. Yang, and C.-S. Ong (2007): âEnhanced Index Investing Based on Goal Programming,â Journal of Portfolio Management, 33(3), 49â56.
    Paper not yet in RePEc: Add citation now
  43. Zghal, W., C. Audet, and G. Savard (2007): âA new multi-objective approach for portfolio selection with skewness,â Discussion paper, Cahiers du GERAD, Montreal.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Does Islamic investing modify portfolio performance? Time-varying optimization strategies for conventional and Shariah energy-ESG-utilities portfolio. (2024). Rezgui, Hichem ; Tavakkoli, Hamid Raza ; Rashidi, Muhammad Mahdi ; Asl, Mahdi Ghaemi.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:94:y:2024:i:c:p:37-57.

    Full description at Econpapers || Download paper

  2. First passage times in portfolio optimization: A novel nonparametric approach. (2024). , Paulo ; Nicolau, Joo ; Zsurkis, Gabriel.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:312:y:2024:i:3:p:1074-1085.

    Full description at Econpapers || Download paper

  3. First passage times in portfolio optimization: a novel nonparametric approach. (2023). Rodrigues, Paulo ; Nicolau, Joo ; Zsurkis, Gabriel.
    In: Working Papers.
    RePEc:ptu:wpaper:w202309.

    Full description at Econpapers || Download paper

  4. Re-evaluating portfolio diversification and design using cryptocurrencies: Are decentralized cryptocurrencies enough?. (2023). Vo, Xuan Vinh ; Bakry, Walid ; Al-Mohamad, Somar ; Prasad, Mason ; Khaki, Audil.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002094.

    Full description at Econpapers || Download paper

  5. Reconciling mean-variance portfolio theory with non-Gaussian returns. (2022). Lassance, Nathan.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:297:y:2022:i:2:p:729-740.

    Full description at Econpapers || Download paper

  6. Diversified behavioral portfolio as an alternative to Modern Portfolio Theory. (2021). Contreras, Javier ; Gomez, Juan M ; Rodriguez, Yeny E.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001273.

    Full description at Econpapers || Download paper

  7. Do portfolio investors need to consider the asymmetry of returns on the Russian stock market?. (2020). Lakshina, Valeriya.
    In: The Journal of Economic Asymmetries.
    RePEc:eee:joecas:v:21:y:2020:i:c:s170349491930091x.

    Full description at Econpapers || Download paper

  8. Stochastic dominance tests. (2020). Tsionas, Mike G ; Topaloglou, Nikolas.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:112:y:2020:i:c:s0165188920300191.

    Full description at Econpapers || Download paper

  9. Unique closed-form solutions of portfolio selection subject to mean-skewness-normalization constraints. (2019). Lu, Xin ; Xue, Fengxin ; Liu, Qiong.
    In: Operations Research Perspectives.
    RePEc:eee:oprepe:v:6:y:2019:i:c:s2214716018301404.

    Full description at Econpapers || Download paper

  10. Network-based asset allocation strategies. (2019). Lyócsa, Štefan ; Baumohl, Eduard ; Lyocsa, Tefan ; Vrost, Tomas.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:47:y:2019:i:c:p:516-536.

    Full description at Econpapers || Download paper

  11. Influence of non-Gaussian noise on the coherent feed-forward loop with time delay. (2019). Fang, Yuwen ; Wang, Min ; Duan, Wei-Long ; Zeng, Chunhua ; Yang, Fengzao ; Luo, Yuhui.
    In: Chaos, Solitons & Fractals.
    RePEc:eee:chsofr:v:129:y:2019:i:c:p:46-55.

    Full description at Econpapers || Download paper

  12. Portfolio optimisation under flexible dynamic dependence modelling. (2018). Bernardi, Mauro ; Catania, Leopoldo.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:48:y:2018:i:c:p:1-18.

    Full description at Econpapers || Download paper

  13. Pure higher-order effects in the portfolio choice model. (2016). Peel, David ; Paya, Ivan ; Ñíguez Grau, Trino ; Iguez, Trino-Manuel .
    In: Finance Research Letters.
    RePEc:eee:finlet:v:19:y:2016:i:c:p:255-260.

    Full description at Econpapers || Download paper

  14. Portfolio selection with a systematic skewness constraint. (2016). An, Yunbi ; Ma, Yongkai ; Jiang, Chonghui .
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:37:y:2016:i:c:p:393-405.

    Full description at Econpapers || Download paper

  15. Portfolio optimisation with jumps: Illustration with a pension accumulation scheme. (2015). Menoncin, Francesco ; le Courtois, Olivier.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:60:y:2015:i:c:p:127-137.

    Full description at Econpapers || Download paper

  16. Robust analysis for downside risk in portfolio management for a volatile stock market. (2015). Abbas, Qaisar ; Ayub, Usman ; Shah, Syed Zulfiqar Ali, .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:44:y:2015:i:c:p:86-96.

    Full description at Econpapers || Download paper

  17. Mean–variance–skewness efficient surfaces, Stein’s lemma and the multivariate extended skew-Student distribution. (2014). Adcock, C. J..
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:234:y:2014:i:2:p:392-401.

    Full description at Econpapers || Download paper

  18. 60 Years of portfolio optimization: Practical challenges and current trends. (2014). Fabozzi, Frank ; Tutuncu, Reha ; Kolm, Petter N..
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:234:y:2014:i:2:p:356-371.

    Full description at Econpapers || Download paper

  19. Location-scale portfolio selection with factor-recentered skew normal asset returns. (2014). Gan, Quan.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:48:y:2014:i:c:p:176-187.

    Full description at Econpapers || Download paper

  20. Return distribution predictability and its implications for portfolio selection. (2013). Zhu, Min.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:27:y:2013:i:c:p:209-223.

    Full description at Econpapers || Download paper

  21. Portfolio selection with skewness: A comparison of methods and a generalized one fund result. (2013). Kerstens, Kristiaan ; Van de Woestyne, Ignace ; Briec, Walter.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:230:y:2013:i:2:p:412-421.

    Full description at Econpapers || Download paper

  22. An empirical analysis of the downside risk-return trade-off at daily frequency. (2013). Sévi, Benoît ; Sevi, Benoit.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:31:y:2013:i:c:p:189-197.

    Full description at Econpapers || Download paper

  23. Portfolio Selection with Skewness: A Comparison and a Generalized Two Fund Separation Result. (2011). Kerstens, Kristiaan ; Van de Woestyne, Ignace ; Briec, Walter.
    In: Working Papers.
    RePEc:hub:wpecon:201109.

    Full description at Econpapers || Download paper

  24. Emerging Local Currency Bond Markets. (2010). Warnock, Francis ; Burger, John.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:16249.

    Full description at Econpapers || Download paper

  25. Portfolio selection in multidimensional general and partial moment space. (2010). Kerstens, Kristiaan ; Briec, Walter.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:34:y:2010:i:4:p:636-656.

    Full description at Econpapers || Download paper

  26. Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation. (2009). Sentana, Enrique ; Mencia, Javier.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:153:y:2009:i:2:p:105-121.

    Full description at Econpapers || Download paper

  27. Risk taking by Japanese bond investors: Testing the reach for yields hypothesis in the Japanese bond markets. (2008). Baba, Naohiko ; Nishioka, Shinichi.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:48:y:2008:i:4:p:691-707.

    Full description at Econpapers || Download paper

  28. Foreign participation in local currency bond markets. (2007). Warnock, Francis ; Burger, John.
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:16:y:2007:i:3:p:291-304.

    Full description at Econpapers || Download paper

  29. Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?. (2005). Rockinger, Michael ; Jondeau, Eric.
    In: FAME Research Paper Series.
    RePEc:fam:rpseri:rp132.

    Full description at Econpapers || Download paper

  30. Moment Component Analysis: An Illustration with International Stock Markets. (0000). Rockinger, Michael ; Jondeau, Eric ; Jurczenko, Emmanuel .
    In: Swiss Finance Institute Research Paper Series.
    RePEc:chf:rpseri:rp1043.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-02-21 07:46:43 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.