Modeling skewness in portfolio choice
研究了10个国际股票市场指数中多种偏度模型的预测能力和投资组合表现，发现基于期权市场的模型优于仅依赖股票收益的模型，并提出一种考虑偏度风险溢价的期权偏度估计量，在多数测试中表现最佳。
Abstract 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.