I had the opportunity to meet Mark Shore last spring in New York City at a presentation. His paper on ‘Skew’ (PDF) will be of interest to many readers:
Skewness relates to the symmetrical characteristics of the return distribution. Returns shifted towards the right (left), create positive (negative) skewness causing asymmetrical returns. When considering components of a portfolio, one must consider the co-skewness of each component. What is the result of the portfolio’s skewness when a new asset is introduced into the portfolio?
Shore also appears on my podcast.