Please use this identifier to cite or link to this item: http://hdl.handle.net/10316/45742
Title: Efficient skewness/semivariance portfolios
Authors: Pedro Brito, Rui 
Sebastião, Hélder 
Godinho, Pedro 
Keywords: portfolio selection; semivariance; skewness; multiobjective optimisation; derivative-free optimisation
Issue Date: 28-Sep-2016
Serial title, monograph or event: Journal of Asset Management
Volume: 17
Issue: 5
Abstract: This article proposes a flexible methodology for portfolio selection using a skewness/semivariance biobjective optimisation framework. The solutions of this biobjective optimisation problem allow the investor to analyse the efficient trade-off between skewness and semivariance. This methodology is used empirically on four data sets, collected from the Fama/French data library. The out-of-sample performance of the skewness/semivariance model was assessed by choosing three portfolios belonging to each in-sample Pareto frontier and measuring their performance in terms of skewness per semivariance ratio, Sharpe ratio and Sortino ratio. Both the in-sample and the out-of-sample performance analyses were conducted using three different target returns for the semivariance computations. The results show that the efficient skewness/semivariance portfolios are consistently competitive when compared with several benchmark portfolios.
URI: http://hdl.handle.net/10316/45742
ISSN: 1470-8272
DOI: 10.1057/jam.2016.9
Rights: embargoedAccess
Appears in Collections:FEUC- Artigos em Revistas Internacionais

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