Maximizing returns by considering skewness in portfolio selection boosts performance!
The study looked at how including skewness, a measure of asymmetry in investment returns, can improve portfolio selection. Traditionally, portfolios are chosen based on expected returns and variance, but this study shows that considering skewness can lead to better performance. By analyzing nine years of stock data, the researchers found that portfolios that maximize returns, minimize variance, and maximize positive skewness perform significantly better than those based only on mean and variance.