Selection of Investment Portfolios Including the Effect of Asymmetry: Evidence from Assets of the Mexican Stock Exchange

Abstract

This paper shows the empirical evidence of the effect of asymmetry of return assets in the portfolio selection and integrates their participation in an investment portfolio. The theoretical review of the methodology is performed and con-trasts a results Markowitz model that uses only the mean and variance and mean-variance model incorporating asymmetry effect. The methodology propose a problem of multi-objective optimization, which selects the investment portfolio that minimizes the multi-objective function, whereby the simultaneous optimization of the specific aims of mean, variance and skewness is achieved. The results show that it is possible to decrease the probability of negative returns and losses in the case of selecting the portfolio more positively skewed. The model validates all selection options level of risk aversion, performance or asymmetry, the approach presented has the advantage of being flexible and selection of assets is expressed mathematically in a space defined by the variance, expected return and asymmetry. The paper presents empirical evidence of the Mexican stock exchange assets.