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1 Adcock C.

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Portfolio selection for Polish stocks using the multivariate skew normal distribution

100%

Adcock C.

Management

2004

tom Vol. 8, no 1

145-154

The paper applies the multivariate skew normal probability distribution to returns on Polish stocks. The estimated parameters are used as the input to a portfolio selection study in which the aim is to construct mean-varianceskewness efficient portfolios. As the paper shows, skewness is present in some of the stocks included in the study. On the basis of the data available, there is evidence that skewness does not persist in Polish stocks. That is, skewness is time varying. It is shown that it is possible to use the time varying estimates of skewness in portfolio selection. The results reported suggest that portfolios constructed by an investor who has a preference for skewness but no preference for expected return will outperform an index portfolio even after the deduction of transactions costs.