Finding a maximum skewness portfolio - A general solution to three-moments portfolio choice

Journal of Economic Dynamics and Control

Volumn 28, Issue 7, 2004, Pages 1335-1352

  de Athayde, Gustavo M ^a   Flôres Jr , Renato G ^b  

^a Banco Itaù ^*  (Brazil)

^b FUNDAÇÃO GETÚLIO VARGAS   (Brazil)

Author keywords

Duality; Efficient set; Higher moments; Portfolio choice; Skewness

Indexed keywords

EID: 0346343063     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1889(02)00084-2     Document Type: Article

References (12)

1. Barone-Adesi G. Arbitrage equilibrium with skewed asset returns Journal of Financial and Quantitative Analysis 20 1985 299-313
2. Campbell J. Lo A. MacKinlay C. The Econometrics of Financial Markets 1997 Princeton University Press Princeton, NJ
3. Harvey C.R. Siddique A. Conditional skewness in asset pricing tests The Journal of Finance 60 2000 1263-1295
4. Ingersoll J.E. Jr. Multidimensional security pricing Journal of Financial and Quantitative Analysis 10 1975 785-798
5. Konno H. Yamazaki H. Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market Management Science 37 1991 519-531
6. Kraus A. Litzenberger R.H. Skewness preference and the valuation of risky assets The Journal of Finance 31 1976 1085-1100
7. Mandelbrot B. The variation of certain speculative prices Journal of Business 36 1963 394-419
8. Panik M.J. Classical Optimization: Foundations and Extensions 1976 North-Holland Amsterdam
9. Pratt J.W. Zeckhauser R.J. Proper risk aversion Econometrica 55 1987 143-154
10. Samuelson P.A. Efficient portfolio selection for Pareto-Lévy investments Journal of Financial and Quantitative Analysis 2 1967 107-122
11. Scott R.C. Horvath P.A. On the direction of preference for moments of higher order than the variance The Journal of Finance 35 1980 915-919
12. Thistle P.D. Negative moments, risk aversion and stochastic dominance Journal of Financial and Quantitative Analysis 28 1993 301-311