Efficient skewness/semivariance portfolios
Autor(a) principal: | |
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Data de Publicação: | 2016 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10316/45742 https://doi.org/10.1057/jam.2016.9 |
Resumo: | 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. |
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Efficient skewness/semivariance portfoliosportfolio selectionsemivarianceskewnessmultiobjective optimisationderivative-free optimisationThis 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.Rui Pedro Brito was funded by the Portuguese National Funding Agency for Science, Research and Technology (FCT) under the scholarship SFRH/BD/94778/2013.2016-09-28info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/10316/45742http://hdl.handle.net/10316/45742https://doi.org/10.1057/jam.2016.9eng1470-8272https://link.springer.com/article/10.1057%2Fjam.2016.9Pedro Brito, RuiSebastião, HélderGodinho, Pedroinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2020-05-25T02:28:26Zoai:estudogeral.uc.pt:10316/45742Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T20:45:45.550930Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Efficient skewness/semivariance portfolios |
title |
Efficient skewness/semivariance portfolios |
spellingShingle |
Efficient skewness/semivariance portfolios Pedro Brito, Rui portfolio selection semivariance skewness multiobjective optimisation derivative-free optimisation |
title_short |
Efficient skewness/semivariance portfolios |
title_full |
Efficient skewness/semivariance portfolios |
title_fullStr |
Efficient skewness/semivariance portfolios |
title_full_unstemmed |
Efficient skewness/semivariance portfolios |
title_sort |
Efficient skewness/semivariance portfolios |
author |
Pedro Brito, Rui |
author_facet |
Pedro Brito, Rui Sebastião, Hélder Godinho, Pedro |
author_role |
author |
author2 |
Sebastião, Hélder Godinho, Pedro |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Pedro Brito, Rui Sebastião, Hélder Godinho, Pedro |
dc.subject.por.fl_str_mv |
portfolio selection semivariance skewness multiobjective optimisation derivative-free optimisation |
topic |
portfolio selection semivariance skewness multiobjective optimisation derivative-free optimisation |
description |
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. |
publishDate |
2016 |
dc.date.none.fl_str_mv |
2016-09-28 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10316/45742 http://hdl.handle.net/10316/45742 https://doi.org/10.1057/jam.2016.9 |
url |
http://hdl.handle.net/10316/45742 https://doi.org/10.1057/jam.2016.9 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
1470-8272 https://link.springer.com/article/10.1057%2Fjam.2016.9 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
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1799133732020420608 |