Advanced Search
MyIDEAS: Login

Citations for "Diversification in a Three-Moment World"

by Simkowitz, Michael A. & Beedles, William L.

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window
  1. Sun, Qian & Yan, Yuxing, 2003. "Skewness persistence with optimal portfolio selection," Journal of Banking & Finance, Elsevier, vol. 27(6), pages 1111-1121, June.
  2. Tienyu Hwang & Simon Gao & Heather Owen, 2012. "A two-pass model study of the CAPM: evidence from the UK stock market," Studies in Economics and Finance, Emerald Group Publishing, Emerald Group Publishing, vol. 29(2), pages 89-104, June.
  3. Gaurav Amin & Harry. M Kat, 2002. "Stocks, Bond and Hedge Funds: Not a Free Lunch," ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University icma-dp2002-11, Henley Business School, Reading University.
  4. Peiro, Amado, 1999. "Skewness in financial returns," Journal of Banking & Finance, Elsevier, vol. 23(6), pages 847-862, June.
  5. Luca Riccetti, 2013. "A copula–GARCH model for macro asset allocation of a portfolio with commodities," Empirical Economics, Springer, Springer, vol. 44(3), pages 1315-1336, June.
  6. You, Leyuan & Daigler, Robert T., 2010. "Is international diversification really beneficial?," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 163-173, January.
  7. Brian M Lucey, Valerio Poti, Edel Tully, 2006. "International Portfolio Formation, Skewness & the Role of Gold," Frontiers in Finance and Economics, SKEMA Business School, SKEMA Business School, vol. 3(1), pages 49-68, June.
  8. Sévi, Benoît, 2013. "An empirical analysis of the downside risk-return trade-off at daily frequency," Economic Modelling, Elsevier, vol. 31(C), pages 189-197.
  9. Cumova, Denisa & Nawrocki, David, 2011. "A symmetric LPM model for heuristic mean-semivariance analysis," Journal of Economics and Business, Elsevier, Elsevier, vol. 63(3), pages 217-236, May.
  10. Post, Thierry & van Vliet, Pim & Levy, Haim, 2008. "Risk aversion and skewness preference," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1178-1187, July.
  11. Low, Rand Kwong Yew & Alcock, Jamie & Faff, Robert & Brailsford, Timothy, 2013. "Canonical vine copulas in the context of modern portfolio management: Are they worth it?," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3085-3099.
  12. Tee, Kai-Hong, 2009. "The effect of downside risk reduction on UK equity portfolios included with Managed Futures Funds," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 303-310, December.
  13. Jondeau, E. & Rockinger, M., 2004. "Optimal Portfolio Allocation Under Higher Moments," Working papers, Banque de France 108, Banque de France.
  14. Goh, Joel Weiqiang & Lim, Kian Guan & Sim, Melvyn & Zhang, Weina, 2012. "Portfolio value-at-risk optimization for asymmetrically distributed asset returns," European Journal of Operational Research, Elsevier, Elsevier, vol. 221(2), pages 397-406.
  15. 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.
  16. Walter Briec & Kristiaan Kerstens & Octave Jokung, 2005. "Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach," Working Papers 2005-ECO-05, IESEG School of Management.
  17. Anthony Tay & Kenneth F. Wallis, 2000. "Density Forecasting: A Survey," Econometric Society World Congress 2000 Contributed Papers 0370, Econometric Society.
  18. C. James Hueng & Ruey Yau, 2006. "Investor preferences and portfolio selection: is diversification an appropriate strategy?," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 6(3), pages 255-271.
  19. Jokipii, Terhi, 2006. "Forecasting market crashes: further international evidence," Research Discussion Papers 22/2006, Bank of Finland.
  20. Trino-Manuel Niguez & Ivan Paya & David Peel & Javier Perote, 2013. "Higher-order moments in the theory of diversification and portfolio composition," Working Papers 18297128, Lancaster University Management School, Economics Department.
  21. Gordon Tang, 1998. "Weekly Pattern of Exchange Rate Risks: Evidence from Ten Asian-Pacific Currencies," Asia-Pacific Financial Markets, Springer, Springer, vol. 5(3), pages 261-274, November.
  22. Annaert, Jan & De Ceuster, Marc & Verstegen, Kurt, 2013. "Are extreme returns priced in the stock market? European evidence," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3401-3411.
  23. Chiao, Chaoshin & Hung, Ken & Srivastava, Suresh C., 2003. "Taiwan stock market and four-moment asset pricing model," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 13(4), pages 355-381, October.
  24. Post, G.T. & van Vliet, P., 2003. "Risk Aversion and Skewness Preference: a comment," 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-2003-009-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.
  25. Tamara Teplova & Evgeniya Shutova, 2011. "A Higher Moment Downside Framework for Conditional and Unconditional CAPM in the Russian Stock Market," Eurasian Economic Review, Eurasia Business and Economics Society, Eurasia Business and Economics Society, vol. 1(2), pages 157-178, Fall.
  26. Tang, Gordon Y. N., 1997. "Impact of the day-of-the-week effect on diversification of exchange rate risks," International Business Review, Elsevier, vol. 6(1), pages 35-51, February.
  27. Gordon Tang, 1998. "Monthly Pattern and Portfolio Effect on Higher Moments of Stock Returns: Empirical Evidence from Hong Kong," Asia-Pacific Financial Markets, Springer, Springer, vol. 5(3), pages 275-307, November.