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Efficient Portfolio Selection with Quadratic and Cubic Utility

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  • Hanoch, Giora
  • Levy, Haim

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Bibliographic Info

Article provided by University of Chicago Press in its journal Journal of Business.

Volume (Year): 43 (1970)
Issue (Month): 2 (April)
Pages: 181-89

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Handle: RePEc:ucp:jnlbus:v:43:y:1970:i:2:p:181-89

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Web page: http://www.journals.uchicago.edu/JB/

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Cited by:
  1. Heidelbach, Olaf, 2007. "Efficiency of selected risk management instruments: An empirical analysis of risk reduction in Kazakhstani crop production," Studies on the Agricultural and Food Sector in Central and Eastern Europe, Leib­niz Institute of Agricultural Development in Central and Eastern Europe (IAMO), volume 40, number 92323.
  2. Simaan, Yusif, 2014. "The opportunity cost of mean–variance choice under estimation risk," European Journal of Operational Research, Elsevier, Elsevier, vol. 234(2), pages 382-391.
  3. Post, G.T., 2003. "Asset prices and omitted moments; A stochastic dominance analysis of market efficiency," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasm ERS-2003-017-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  4. Post, G.T. & van Vliet, P., 2004. "Downside Risk and Asset Pricing," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasm ERS-2004-018-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  5. Chunhachinda, Pornchai & Dandapani, Krishnan & Hamid, Shahid & Prakash, Arun J., 1997. "Portfolio selection and skewness: Evidence from international stock markets," Journal of Banking & Finance, Elsevier, Elsevier, vol. 21(2), pages 143-167, February.
  6. Jondeau, E. & Rockinger, M., 2004. "Optimal Portfolio Allocation Under Higher Moments," Working papers, Banque de France 108, Banque de France.
  7. Gourieroux, C. & Monfort, A., 2005. "The econometrics of efficient portfolios," Journal of Empirical Finance, Elsevier, Elsevier, vol. 12(1), pages 1-41, January.
  8. Drynan, Ross G., 1987. "Sufficient Conditions for Dominance of Simply Related Prospects," Review of Marketing and Agricultural Economics, Australian Agricultural and Resource Economics Society, Australian Agricultural and Resource Economics Society, vol. 55(01), April.
  9. Ramaratnam, S. Sri & Rister, M. Edward & Bessler, David A. & Novak, James L., 1986. "Risk Attitudes And Farm/Producer Attributes: A Case Study Of Texas Coastal Bend Grain Sorghum Producers," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, Southern Agricultural Economics Association, vol. 18(02), December.
  10. Drynan, Ross G., 1986. "A Note On Optimal Rules For Stochastic Efficiency Analysis," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, Australian Agricultural and Resource Economics Society, vol. 30(01), April.
  11. Buccola, Steven T., 1982. "Portfolio Selection Under Exponential And Quadratic Utility," Western Journal of Agricultural Economics, Western Agricultural Economics Association, Western Agricultural Economics Association, vol. 7(01), July.
  12. Brian M Lucey & Edel Tully & Valerio Poti, 2005. "International Portfolio Formation, Skewness & the Role of Gold," The Institute for International Integration Studies Discussion Paper Series, IIIS iiisdp030, IIIS.
  13. Cruz, Elmar Rodrigues da & Porto, Vitor Hugo da Fonseca, 1988. "Simplified Risk Analysis in Agricultural Extension," Agricultural Economics: The Journal of the International Association of Agricultural Economists, International Association of Agricultural Economists, International Association of Agricultural Economists, vol. 1(4), January.
  14. Hardaker, J. Brian & Tanago, A.G., 1973. "Assessment Of The Output Of A Stochastic Decision Model," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, Australian Agricultural and Resource Economics Society, vol. 17(03), December.

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