Proposing the Mean-Variance-Skewness Portfolio Model Using Momentum and Contrarian Strategies (MCSs)

Subject Areas :

Homayun Soltanzadeh ¹ , Reza Keykhaei ² , Abdolmajid Abdolbaghi Ataabadi ³ , Hosein Arman ⁴

1 - Department of Management, Na.C., Islamic Azad University, Najafabad, Iran.
2 - Department of Mathematics, Khansar Central University, Isfahan, Isfahan, Iran
3 - Assistant Professor, Department of Industrial Engineering, Shahrood University of Technology, Shahrood, Iran.
4 - Department of Management, Na.C., Islamic Azad University, Najafabad, Iran.

Received: 2024-09-30 Accepted : 2025-03-06 Published : 2025-03-12

Keywords: Mean-Variance Model, Skewness, Optimal Portfolio, Momentum Optimal Portfolio, Reversal Optimal Portfolio,

Abstract :

Objective:
This study aims to develop a new model by using momentum and reversal investment strategies combined with the Markowitz optimization formula, which simultaneously increases returns while reducing risk. Unlike traditional models, this model does not assume equal weights for stocks.

Methodology:
Specifically, this research employs mean-variance and skewness optimization methods. To demonstrate the proposed approaches, data from 160 companies listed on the Tehran Stock Exchange between 2014 and 2022 were used. These data were utilized to construct and optimize mean-variance-skewness portfolios based on momentum and reversal strategies and to compare their performance.

Findings:
The results showed that the skewness-based momentum strategy in portfolio optimization outperforms other strategies in terms of performance and profitability.

Originality / Scientific Value:
In this model, stock weights are not considered equal, allowing investors with more precise information to better form and improve their investment portfolios.

 

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