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The Extension of Portfolio Analysis to Three or More Parameters

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  • Jean, William H.

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  • Jean, William H., 1971. "The Extension of Portfolio Analysis to Three or More Parameters," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(01), pages 505-515, January.
  • Handle: RePEc:cup:jfinqa:v:6:y:1971:i:01:p:505-515_02
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    Cited by:

    1. 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.
    2. William L. Beedles, 1979. "Return, Dispersion, And Skewness: Synthesis And Investment Strategy," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 2(1), pages 71-80, March.
    3. Carlos MACHADO-SANTOS & Ana Cristina FERNANDES, 2005. "Skewness in Financial Returns: Evidence from the Portuguese Stock Market (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 55(9-10), pages 460-470, September.
    4. Paweł Wnuk Lipinski, 2013. "Portfolio selection models based on characteristics of return distributions," Working Papers 2013-14, Faculty of Economic Sciences, University of Warsaw.
    5. John Lintner, 1976. "Interest Rate Expectations and Optimal Forward Commitments for Institutional Investors," NBER Chapters,in: Explorations in Economic Research, Volume 3, number 4, pages 1-76 National Bureau of Economic Research, Inc.
    6. Chi-Hsiou Hung, 2008. "Return Predictability of Higher-Moment CAPM Market Models," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 35(7-8), pages 998-1022.
    7. repec:hal:journl:halshs-00336475 is not listed on IDEAS
    8. Kolm, Petter N. & Tütüncü, Reha & Fabozzi, Frank J., 2014. "60 Years of portfolio optimization: Practical challenges and current trends," European Journal of Operational Research, Elsevier, vol. 234(2), pages 356-371.
    9. Eric Jondeau & Michael Rockinger, 2006. "Optimal Portfolio Allocation under Higher Moments," European Financial Management, European Financial Management Association, vol. 12(1), pages 29-55.
    10. 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.
    11. Lorenzo-Valdes, Arturo & Ruiz-Porras, Antonio, 2014. "Un modelo TGARCH con una distribución t de Student asimétrica y las hipotesis de racionalidad de los inversionistas bursátiles en Latinoamérica
      [A TGARCH model with an asymmetric Student´s t distri
      ," MPRA Paper 53019, University Library of Munich, Germany.
    12. Athayde, Gustavo M. de & Flôres Junior, Renato Galvão, 1999. "Introducing higher moments in the CAPM: some basic ideas," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 362, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
    13. Richard M. Duvall & Judith L. Quinn, 1981. "Skewness Preference In Stable Markets," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 4(3), pages 249-263, September.
    14. Chi-Hsiou Hung, 2007. "Return Explanatory Ability and Predictability of Non-Linear Market Models," Working Papers 2007_05, Durham University Business School.
    15. 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, vol. 13(4), pages 355-381, October.
    16. Gourieroux, C. & Monfort, A., 2005. "The econometrics of efficient portfolios," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 1-41, January.
    17. Philip A. Horvath & Amit K. Sinha, 2017. "Asymmetric reaction is rational behavior," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(1), pages 160-179, January.
    18. Andrea Gamba & Francesco Rossi, 1998. "A three-moment based portfolio selection model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 21(1), pages 25-48, June.
    19. Panait, Iulian & Slavescu, Ecaterina Oana, 2012. "Skewness in stock returns: evidence from the Bucharest stock exchange during 2000 – 2011," MPRA Paper 38751, University Library of Munich, Germany.
    20. Tao Pham Dinh & Yi-Shuai Niu, 2011. "An efficient DC programming approach for portfolio decision with higher moments," Computational Optimization and Applications, Springer, vol. 50(3), pages 525-554, December.
    21. Kadan, Ohad & Liu, Fang, 2014. "Performance evaluation with high moments and disaster risk," Journal of Financial Economics, Elsevier, vol. 113(1), pages 131-155.
    22. Hung, Chi-Hsiou D. & Azad, A.S.M. Sohel & Fang, Victor, 2014. "Determinants of stock returns: Factors or systematic co-moments? Crisis versus non-crisis periods," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 14-29.
    23. Chi-Hsiou Hung, 2007. "Momentum, Size and Value Factors versus Systematic Co-moments in Stock Returns," Working Papers 2007_02, Durham University Business School.
    24. Juliane Proelss & Denis Schweizer, 2014. "Polynomial goal programming and the implicit higher moment preferences of US institutional investors in hedge funds," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(1), pages 1-28, February.

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