The study explores how using a skew-normal distribution for asset returns can lead to better optimal portfolios. By incorporating skewness into the Black-Litterman model, the researchers found that portfolios with skew-normal returns have the same expected return but less risk compared to traditional portfolios. As expected returns increase, portfolios become more negatively skewed, indicating a trade-off between negative skewness and higher returns. Additionally, there is a negative relationship between portfolio volatility and skewness, showing that investors balance volatility and skewness when selecting stocks.