It has been suggested that the skewness of the probability distribution of the net present value of an investment should be a consideration in judging its desirability. This paper presents an index, referred to as the Expected Value – Variance – Skewness criterion, that incorporates skewness of net present value with its expected value and variance as a measure of investment worth under risk. The effectiveness of this criterion was compared to the expected value and the expected value-variance decision criteria by applying each criterion in a long sequence of investment projects.