New optimality principles for economic efficiency and equilibrium
Journal of Optimization Theory and Applications
Risk, return, skewness and preference
Management Science
Mean-Entropy-Skewness Fuzzy Portfolio Selection by Credibility Theory Approach
PReMI '09 Proceedings of the 3rd International Conference on Pattern Recognition and Machine Intelligence
Conditional Coskewness in Stock and Bond Markets: Time-Series Evidence
Management Science
Fuzzy mean-variance-skewness portfolio selection models by interval analysis
Computers & Mathematics with Applications
Testing for Prudence and Skewness Seeking
Management Science
Mutual fund performance evaluation: a value efficiency analysis approach
International Journal of Electronic Finance
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This paper proposes a nonparametric efficiency measurement approach for the static portfolio selection problem in mean-variance-skewness space. A shortage function is defined that looks for possible increases in return and skewness and decreases in variance. Global optimality is guaranteed for the resulting optimal portfolios. We also establish a link to a proper indirect mean-variance-skewness utility function. For computational reasons, the optimal portfolios resulting from this dual approach are only locally optimal. This framework permits to differentiate between portfolio efficiency and allocative efficiency, and a convexity efficiency component related to the difference between the primal, nonconvex approach and the dual, convex approach. Furthermore, in principle, information can be retrieved about the revealed risk aversion and prudence of investors. An empirical section on a small sample of assets serves as an illustration.