Portfolio Selection with a Systematic Skewness Constraint
This paper focuses on portfolio selection with a systematic skewness constraint within the mean-variance framework.We derive the composition of efficient portfolios in our model,and analyze the properties of these efficient portfolios.We show that the required systematic skewness is achieved at the expense of mean-variance efficiency,and find that the more stringent the constraint,the greater the loss in efficiency.Our numerical analysis indicates that the systematic skewness constraint helps enhance the skewness of efficient portfolios over the skewness of traditional efficient portfolios.In addition,investors with a greater skewness preference impose a more stringent coskewness constraint,and at the same time are willing to accept a higher risk.Finally,we establish the relationship between our model and the three-moment asset pricing model,and analyze the determinants of market prices of systematic variance and skewness implied by our model.
portfolio selection mean-variance model systematic variance systematic skewness
Chonghui Jiang Yongkai Ma Yunbi An
School of Management and Economics University of Electronic Science and Technology of China Chengdu, Odette School of Business University of Windsor Windsor,Ontario,Canada,N9B 3P4
国际会议
2013 China Finance Review International Conference(第六届(2013)中国金融评论国际研讨会)
上海
英文
692-726
2013-07-08（万方平台首次上网日期，不代表论文的发表时间）