Selecting a portfolio with skewness: Recent evidence from US, European, and Latin American equity markets

By A. Prakash, Chun-hao Chang, T. E. Pactwa. 2003

227 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

On Testing the Equality of the Multiple Sharpe Ratios, with Application on the Evaluation of Ishares (2008, methodology): “The unavailability of the multiple Sharpe ratios comparison calls forth alternative approaches. For example, Ackermann, et al (1999) compute the mean Sharpe Ratio and the median Sharpe ratio of several funds and test whether these estimates are significantly different from zero.”
Mean-variance-skewness model for portfolio selection with fuzzy returns (2010, background): “…(e.g. Arditti [1], Samuelson [24], Kraus and Litzenberger [10], Konno et al. [18], Konno and Suzuki [9], Liu et al. [17], Prakash et al. [21]) argued that the higher moments cannot be neglected unless there are reasons to trust that the returns are symmetrically distributed (e.g.…”
Optimal Portfolio Allocation under Higher Moments (2006, unknown): “Other studies have described how higher moments may be incorporated in the investor’s asset allocation problem using the PGP approach (Lai, 1991; Chunhachinda et al., 1999; Prakash et al., 2003).”
Fund of hedge funds portfolio selection: A multiple-objective approach (2009, background): “(1997), Sun and Yan (2003), and Prakash et al. (2003) to solve portfolio selection problems involving a significant degree of skewness.”
Stochastic Dominance Analysis of iShares (2007, methodology): “(2003) also use polynomial goal programming incorporating skewness to determine optimal portfolios.”