Portfolio selection with skewness

Numerical Methods in Finance

Volumn , Issue , 2005, Pages 227-240

  Boyle, Phelim ^a   Ding, Brian ^b  

^a UNIVERSITY OF WATERLOO   (Canada)

^b TD Centre   (Canada)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 59449094553     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1007/0-387-25118-9_11     Document Type: Chapter

References (8)

1. Boyle, Phelim P. and Ananthananarayanan, A. L. (1979). The impact of variance estimation in option valuation models. Journal of Financial Economics, 6:375-388.
2. Davies, R. J., Kat H. M., and Lu, S. (2004). Fund of Hedge Fund Portfolio Selection: A Multiple Objective Approach. Working paper, Cass Business School, City University, London UK
3. Kahneman, D. and Tversky A. (1979). Prospect theory: an analysis of decision under risk. Econometrica, 47:263-292.
4. Konno, H., Shirakawa, H., and Yamazaki, H. (1993). A mean-absolute deviation-skewness portfolio optimization model. Annals of Operations Research, 45:205-220.
5. Lee, P. J. (1992). Portfolio selection in the presence of options and the distribution of return of portfolios containing options. 3rd AFIR International Colloquium, 2:691-709.
6. Markowitz, H. (1952). Portfolio selection. Journal of Finance, 7:77-91.
7. Levy, H. and Levy, M. (2004). Prospect theory and mean-variance analysis. Review of Financial Studies, 17:1015-1041.
8. Sun, Q. and Yan, Y. (2003). Skewness persistence with optimal portfolio selection. Journal of Banking and Finance, 27:1111-1121.