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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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Researchers usually specify risk aversion coefficients from 1 (lowest) to M (highest) for a portfolio to indicate active or passive approaches. How effective is this practice? Recent studies suggest that the global minimum variance portfolio (GMVP) is statistically equivalent to portfolios with extensive risk aversion coefficients (the GMVP-equival...
