Revealed preferences for portfolio selection - does skewness matter?

被引：4

作者：

Liechty, Merrill W. ^{[1
]}

Saglam, Umit ^{[2
]}

机构：

[1] Drexel Univ, Dept Decis Sci, LeBow Coll Business, Philadelphia, PA 19104 USA

[2] East Tennessee State Univ, Dept Management & Mkt, Coll Business & Technol, Johnson City, TN USA

来源：

APPLIED ECONOMICS LETTERS | 2017年 / 24卷 / 14期

关键词：

Revealed preferences; mean-variance classical portfolio; mean-variance-skewness optimal portfolio; C11; C61; C63; G11; DISTRIBUTIONS;

D O I：

10.1080/13504851.2016.1243207

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：968 / 971

页数：4

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