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This work performs a numerical simulation for an investment portfolio selection model that considers the three first moments of asset returns distribution – mean return, variance, and skewness. The application of the model, based on data collected on the platform of a Brazilian stockbroker, allowed obtaining portfolios of maximum skewness for fixed...
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... the surface in Figures 2 and 3 obtained for the portfolio of Assets 6, 7 and 8, it was found that in a region very close to the Markowitz curve, the gain with the skewness proved to be highly relevant, which suggests the possibility of expressive gain from an economic point of view for bold investors. In addition, this combination of assets presents high values of variance and skewness in their assets individually, suggesting a greater relevance in using the Three-Moment selection model for these cases. ...
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