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.
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页码：968 / 971
页数：4
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