Journal article
Revealed preferences for portfolio selection - does skewness matter?
Applied economics letters, v 24(14), pp 968-971
01 Jan 2017
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
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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Details
- Title
- Revealed preferences for portfolio selection - does skewness matter?
- Creators
- Merrill W. Liechty - Drexel UniversityUmit Saglam - East Tennessee State University
- Publication Details
- Applied economics letters, v 24(14), pp 968-971
- Publisher
- Taylor & Francis
- Number of pages
- 4
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Decision Sciences (and Management Information Systems)
- Web of Science ID
- WOS:000401475600001
- Scopus ID
- 2-s2.0-84991037584
- Other Identifier
- 991019168349804721
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- Collaboration types
- Domestic collaboration
- Web of Science research areas
- Economics