Portfolio selection with skewness in emerging market industries

In the presence of skewness, portfolio selection requires to consider competing and conflicting objectives. We utilize polynomial goal programming to determine the optimal portfolio from emerging markets industries. This paper is concerned with an industry level analysis of the effects of portfolio selection when the skewness is taken into account. We have found that the incorporation of skewness into an investor's portfolio decision provokes a great change in the resulting optimal portfolio allocation. This evidence suggests that individuals trade expected return for skewness.