Analysis of a portfolio selection model at three-moments

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 values of expected return and weighted variance of the portfolio. The results are analyzed and presented graphically, giving rise to an optimal surface for triples of moments associated with portfolios of maximum skewness. Furthermore, this experiment allowed us to confirm the relevance of considering higher-order moments in the selection of investment portfolios and verifying the efficiency of the Three-Moments model, having as reference the Markowitz solution in his Mean-Variance model.