Abstract
Konno et al. (1993) proposed a method for incorporating skewness into the portfolio optimization problem. This paper extends their technique and proposes a modification which leads to portfolios with improved characteristics. The model is then used to analyze the potential for put options to increase the skewness of portfolios. This strategy is tested with historical returns on a portfolio of TSE stocks. Compared to the Konno et al. (1993) approach our resulting portfolio has higher skewness and lower variance; with expected return being equal.
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Boyle, P., Ding, B. (2005). Portfolio Selection with Skewness. In: Breton, M., Ben-Ameur, H. (eds) Numerical Methods in Finance. Springer, Boston, MA. https://doi.org/10.1007/0-387-25118-9_11
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DOI: https://doi.org/10.1007/0-387-25118-9_11
Publisher Name: Springer, Boston, MA
Print ISBN: 978-0-387-25117-2
Online ISBN: 978-0-387-25118-9
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