It is a matter of common observation that investors value substantial gains but are averse to heavy losses. Obvious as it may sound, this translates into an interesting preference for right-skewed return distributions, whose right tails are heavier than their left tails. Skewness is thus not only a way to describe the shape of a distribution, but also a tool for risk measurement. We review the statistical literature on skewness and provide a comprehensive framework for its assessment. Then, we present a new measure of skewness, based on the decomposition of variance in its upward and downward components. We argue that this measure fills a gap in the literature and show in a simulation study that it strikes a good balance between robustness and sensitivity.

中文翻译：

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评估金融市场的偏度

一个普遍的观察是，投资者看重可观的收益，但不愿遭受重大损失。听起来很明显，这转化为对右偏收益分布的有趣偏好，其右尾比左尾重。因此，偏度不仅是描述分布形状的一种方式，而且还是一种风险衡量工具。我们回顾了关于偏度的统计文献，并为其评估提供了一个综合框架。然后，我们基于向上和向下分量的方差分解提出了一种新的偏度度量。我们认为该措施填补了文献中的空白，并在模拟研究中表明它在稳健性和敏感性之间取得了良好的平衡。