Chun-Hao Chang

Selecting a Portfolio with Skewness: Recent Evidence from US, European, and Latin American Equity Markets

Polynomial goal programming, in which investor preferences for skewness can be incorporated, is utilized to determine the optimal portfolio from Latin American, US and European capital markets.The empirical findings suggest that the incorporation of skewness into an investors portfolio decision causes a major change in the resultant optimal portfolio. The empirical evidence indicates that investors do trade expected return of the portfolio for skewness.

Effect of intervalling and skewness on portfolio selection in developed and developing markets

Based on several research studies and in particular the theoretical study of Prakash et al. (1997), it is known that the variance as well as the skewness of the probability distribution of rates of return increases if the investors’ investment interval increases. In the present study, using the portfolio selection procedure developed by Lai (1991) under the presence of skewness and subsequently used by Chunhachinda et al. (1997) and Prakash et al. (2003), we find that the selection of investment interval (e.g. daily, weekly versus monthly) significantly changes not only the optimal allocation of weights, but also the number of markets selected in the portfolio.

Optimum allocation of weights to assets in a portfolio: the case of nominal annualization versus effective annualization of returns

Based on several research studies and in particular the theoretical study of Prakash et al. (1997), it is known that the variance as well as the skewness of the probability distribution of rates of return increases if the investors-investment interval increases. In the present study, using the portfolio selection procedure deveoloped by Lai (1991) under the presence of skewness and subsequently used by Chunhachinda et al. (1997) and Prakash et al. (2003), we find that the selection of investment interval (e.g. daily versus weekly versus monthly) significantly changes not only the optimal allocation of weights, but also the number of markets selected in the portfolio.

Current Assets Policies of European Corporations: A Critical Examination

This paper studies the current assets policies of selected European corporations and highlights the probable areas of strengths and weaknesses of European current assets practices and their economic implications for global competition.

The 100-year Japanese residential mortgage: An examination

Abstract A recent innovation in the Japanese real estate industry to promote home ownership is the creation of a 100-year mortgage term. The home, encumbered by the mortgage, becomes an ancestral property and is passed on from grandparent to grandchild in a multigenerational fashion. We analyze the implications of this innovative practice, contrast it with the conventional 30-year mortgage popular in Western nations and explore its unique benefits and limitations within the Japanese economic and cultural framework. Through the use of simulation, the conclusion is reached that the 100-year mortgage has failed to increase the affordability of homes. Instead, affluent homeowners are more likely to employ long-term mortgages as an estate-planning tool to reduce inheritance taxes.