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Volumn 23, Issue 2, 2000, Pages 133-150

Linearity properties of a three-moments portfolio model

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EID: 28844509829     PISSN: 15938883     EISSN: 11296569     Source Type: Journal    
DOI: 10.1007/s102030070004     Document Type: Article
Times cited : (5)

References (12)
  • 2
    • 84977397409 scopus 로고
    • On the direction of preference for moments of higher order than the variance
    • Horvath, P.A., Scott, R.C. (1980): On the direction of preference for moments of higher order than the variance. The Journal of Finance 35, 915-919
    • (1980) The Journal of Finance , vol.35 , pp. 915-919
    • Horvath, P.A.1    Scott, R.C.2
  • 5
    • 0003114587 scopus 로고
    • The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets
    • Lintner, J. (1965): The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics 47, 13-37
    • (1965) Review of Economics and Statistics , vol.47 , pp. 13-37
    • Lintner, J.1
  • 7
    • 0001238604 scopus 로고
    • Equilibrium in a capital asset market
    • Mossin, J. (1966): Equilibrium in a capital asset market. Econometrica 34, 768-783
    • (1966) Econometrica , vol.34 , pp. 768-783
    • Mossin, J.1
  • 8
    • 0000557004 scopus 로고
    • On the class of elliptical distributions and their applications to the theory of portfolio choice
    • Owen, J., Rabinovitch, R. (1983): On the class of elliptical distributions and their applications to the theory of portfolio choice. The Journal of Finance 38, 745-752
    • (1983) The Journal of Finance , vol.38 , pp. 745-752
    • Owen, J.1    Rabinovitch, R.2
  • 10
    • 0001217228 scopus 로고
    • A simplified model for portfolio analysis
    • W.F. Sharpe, (1963): A simplified model for portfolio analysis. Management Science 9, 277-293
    • (1963) Management Science , vol.9 , pp. 277-293
    • Sharpe, W.F.1
  • 11
    • 0042461054 scopus 로고
    • Portfolio selection and asset pricing: Three-parameter framework
    • Simaan, Y. (1993): Portfolio selection and asset pricing: three-parameter framework. Management Science 39, 568-577
    • (1993) Management Science , vol.39 , pp. 568-577
    • Simaan, Y.1
  • 12
    • 52849100635 scopus 로고
    • Teoria del portafoglio: Un modello a tre momenti
    • Modena 5-7 settembre, Pitagora, Bologna
    • Stucchi, P. (1994): Teoria del portafoglio: un modello a tre momenti. Atti del XVIII Convegno AMASES, Modena 5-7 settembre, Pitagora, Bologna, pp. 555-571
    • (1994) Atti del XVIII Convegno AMASES , pp. 555-571
    • Stucchi, P.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.