Modeling skewness in portfolio choice

Le, Trung H., Kourtis, Apostolos and Markellos, Raphael (2023) Modeling skewness in portfolio choice. Journal of Futures Markets, 43 (6). pp. 734-770. ISSN 0270-7314

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We seek the best skewness models for portfolio choice decisions. To this end, we compare the predictive ability and portfolio performance of several prominent skewness models in a sample of 10 international equity market indices. Overall, models that employ information from the option markets outperform models that only rely on stock returns. We propose an option-based skewness estimator that accounts for the skewness risk premium. This estimator offers the most informative forecasts of future skewness, the lowest prediction errors, and the best portfolio performance in most of our tests.

Item Type: Article
Additional Information: Data Availability Statement: The data that support the results of this study are obtained from Thomson-Reuters Datastream and IVOLATILITY. The data are not publicly available due to commercial restrictions.
Uncontrolled Keywords: portfolio choice,skewness modeling,skewness risk premium,accounting,business, management and accounting(all),finance,economics and econometrics ,/dk/atira/pure/subjectarea/asjc/1400/1402
Faculty \ School: Faculty of Social Sciences > Norwich Business School
UEA Research Groups: Faculty of Social Sciences > Research Groups > Finance Group
Faculty of Social Sciences > Research Centres > Centre for Competition Policy
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Depositing User: LivePure Connector
Date Deposited: 24 Feb 2023 17:30
Last Modified: 09 May 2023 14:30
DOI: 10.1002/fut.22408


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