Stock Selection Using Skewness to Construct a Portfolio and the Effects of Variables on Portfolio Return

This study aims to investigate the effects of stock selection while constructing a portfolio using Skewness as well factors affecting return. was carried out in three stages: based on skewness, asset allocation Quadratic Programming, and return calculation market external factors. To assess select portfolios, this employs novel methodology that combines key financial non-financial characteristics with skewness model. The research’s findings are follows. First, could be used stocks added portfolio. Second, capitalization weighted generated best compared other two portfolios. Third, pandemic era have significant impact returns equally weighted, Markowitz weighted. Fourth, investors do not require fund management expertise manage investor funds.