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Finding a maximum skewness portfolio--a general solution to three-moments portfolio choice

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  • de Athayde, Gustavo M.
  • Flores, Renato Jr.

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  • de Athayde, Gustavo M. & Flores, Renato Jr., 2004. "Finding a maximum skewness portfolio--a general solution to three-moments portfolio choice," Journal of Economic Dynamics and Control, Elsevier, vol. 28(7), pages 1335-1352, April.
    • Handle: RePEc:eee:dyncon:v:28:y:2004:i:7:p:1335-1352
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    References listed on IDEAS

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    1. Barone-Adesi, Giovanni, 1985. "Arbitrage Equilibrium with Skewed Asset Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 20(3), pages 299-313, September.
    2. Pratt, John W & Zeckhauser, Richard J, 1987. "Proper Risk Aversion," Econometrica, Econometric Society, vol. 55(1), pages 143-154, January.
    3. Ingersoll, Jonathan, 1975. "Multidimensional Security Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 10(5), pages 785-798, December.
    4. Campbell R. Harvey & Akhtar Siddique, 2000. "Conditional Skewness in Asset Pricing Tests," Journal of Finance, American Finance Association, vol. 55(3), pages 1263-1295, June.
    5. Kraus, Alan & Litzenberger, Robert H, 1976. "Skewness Preference and the Valuation of Risk Assets," Journal of Finance, American Finance Association, vol. 31(4), pages 1085-1100, September.
    6. Scott, Robert C & Horvath, Philip A, 1980. "On the Direction of Preference for Moments of Higher Order Than the Variance," Journal of Finance, American Finance Association, vol. 35(4), pages 915-919, September.
    7. Mandelbrot, Benoit B, 1972. "Correction of an Error in "The Variation of Certain Speculative Prices" (1963)," The Journal of Business, University of Chicago Press, vol. 45(4), pages 542-543, October.
    8. Hiroshi Konno & Hiroaki Yamazaki, 1991. "Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market," Management Science, INFORMS, vol. 37(5), pages 519-531, May.
    9. Samuelson, Paul A., 1967. "Efficient Portfolio Selection for Pareto-Lévy Investments*," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 2(2), pages 107-122, June.
    10. Thistle, Paul D., 1993. "Negative Moments, Risk Aversion, and Stochastic Dominance," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(2), pages 301-311, June.
    11. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78, World Scientific Publishing Co. Pte. Ltd..
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