Finanse, Rynki Finansowe, Ubezpieczenia

Previously: Zeszyty Naukowe Uniwersytetu Szczecińskiego. Finanse, Rynki Finansowe, Ubezpieczenia


ISSN: 2450-7741     eISSN: 2300-4460    OAI    DOI: 10.18276/frfu.2017.86-15
CC BY-SA   Open Access 

Issue archive / 2/2017 (86)
Struktura portfeli efektywnych w modelach średnia-wariancja-skośność
(The structure of efficient portfolios in mean-variance-skewness models)

Authors: Renata Dudzińska-Baryła
Uniwersytet Ekonomiczny w Katowicach

Donata Kopańska-Bródka
Uniwersytet Ekonomiczny w Katowicach

Ewa Michalska
Uniwersytet Ekonomiczny w Katowicach
Keywords: skewness diversification efficient frontier
Whole issue publication date:2017
Page range:12 (185-196)
Cited-by (Crossref) ?:

Abstract

Purpose – The distributions of rates of return observed in the investment practice are asymmetric, so the models which take into account only the mean and variance lack important features of portfolios. The aim of this paper is to analyse the degree of portfolio diversification, considering additional criterion of maximisation of the third central moment as a measure of skewness. Design/Methodology/approach – In this paper we analyse the subsets of efficient portfolios which have the same structure. Using additional criterion of maximisation of the third central moment we determine the optimal portfolios having the same degree of diversification. In our research we analyse portfolios of stocks listed on Warsaw Stock Exchange. Findings – We show that consideration of skewness in the efficient portfolio analysis changes the struc-ture of optimal portfolios significantly. The greater the strength of preferences for skewness the lower the degree of portfolio diversification. Originality/value – We propose a three-criteria optimal portfolio selection model which maximises the expected value and skewness and minimises the variance. Parametric analysis of the level of diversifica-tion allows us to study the stability of the structure of optimal portfolios in relation to the investor prefer-ences regarding the expected return and skewness.
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