Mean-variance-skewness portfolio performance gauging: A general shortage function and dual approach

• 成果类型: Article
• 署名作者: Briec, Walter; Kerstens, Kristiaan; Jokung, Octave
• 署名单位: Universite Perpignan Via Domitia; IESEG School of Management; Universite de Lille; Centre National de la Recherche Scientifique (CNRS); Universite Catholique de Lille; EDHEC Business School
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.1060.0596
• 发表日期: 2007
• 页码: 135-149
• 关键词: shortage function; Efficient frontier; mean-variance-skewness portfolios; risk aversion; prudence

摘要

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.