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Portfolio Selection with Skewness: A Comparison and a Generalized Two Fund Separation Result

Author

Listed:
  • Briec, Walter

    (Universit´e de Perpignan, Perpignan, France)

  • Kerstens, Kristiaan

    (IESEG School of Management, Lille, France)

  • Van de Woestyne, Ignace

    (Hogeschool-Universiteit Brussel (HUB), Belgium)

Abstract
The main aim of this contribution is to compare existing and newly developed techniques for geometrically representing mean-variance-skewness portfolio frontiers based on the rather widely adapted methodology of polynomial goal programming (PGP) on the one hand and the more recent approach based on the shortage function on the other hand. Moreover, we explain the working of these different methodologies in detail and provide graphical illustrations. Inspired by these illustrations, we prove a generalization of the well-known two fund separation theorem from traditional mean-variance portfolio theory.

Suggested Citation

  • Briec, Walter & Kerstens, Kristiaan & Van de Woestyne, Ignace, 2011. "Portfolio Selection with Skewness: A Comparison and a Generalized Two Fund Separation Result," Working Papers 2011/09, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
    • Handle: RePEc:hub:wpecon:201109
    as

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    File URL: https://lirias.hubrussel.be/bitstream/123456789/4819/1/11HRP09.pdf
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    References listed on IDEAS

    as
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