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Multidimensional Security Pricing

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  • Ingersoll, Jonathan
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    Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

    Volume (Year): 10 (1975)
    Issue (Month): 05 (December)
    Pages: 785-798

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    Handle: RePEc:cup:jfinqa:v:10:y:1975:i:05:p:785-798_01

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    Cited by:
    1. Athayde, Gustavo M. de & Flôres Junior, Renato Galvão, 2001. "Finding a Maximum Skewness Portfolio - A General Solution to Three-Moments Portfolio Choice," Economics Working Papers (Ensaios Economicos da EPGE) 434, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
    2. repec:hal:journl:halshs-00336475 is not listed on IDEAS
    3. Giuseppe arbia, 2014. "Least quartic Regression Criterion with Application to Finance," Papers 1403.4171, arXiv.org.
    4. Weinreich, Daniel, 2013. "The perception of distributive fairness and optimal taxation under uncertainty," MPRA Paper 48912, University Library of Munich, Germany.
    5. Anthonisz, Sean A., 2012. "Asset pricing with partial-moments," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2122-2135.
    6. Francisco Penaranda, 2007. "Portfolio choice beyond the traditional approach," LSE Research Online Documents on Economics 24481, London School of Economics and Political Science, LSE Library.
    7. Chunhachinda, Pornchai & Dandapani, Krishnan & Hamid, Shahid & Prakash, Arun J., 1997. "Portfolio selection and skewness: Evidence from international stock markets," Journal of Banking & Finance, Elsevier, vol. 21(2), pages 143-167, February.
    8. Athayde, Gustavo Monteiro de & Flôres Junior, Renato Galvão, 1999. "Introducing Higher Moments in the CAPM: Some Basic Ideas," Economics Working Papers (Ensaios Economicos da EPGE) 362, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
    9. Yi-Cheng Shih & Sheng-Syan Chen & Cheng-Few Lee & Po-Jung Chen, 2014. "The evolution of capital asset pricing models," Review of Quantitative Finance and Accounting, Springer, vol. 42(3), pages 415-448, April.
    10. Attiya Y. Javid & Eatzaz Ahmad, 2008. "Test of Multi-moment Capital Asset Pricing Model: Evidence from Karachi Stock Exchange," PIDE-Working Papers 2008:49, Pakistan Institute of Development Economics.
    11. Pedro L. Sánchez-Torres & Enrique Sentana, 1998. "Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market," Investigaciones Economicas, Fundación SEPI, vol. 22(1), pages 5-17, January.

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