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Optimal portfolio allocation with higher moments

  • Jakša Cvitanić

    ()

  • Vassilis Polimenis

    ()

  • Fernando Zapatero

    ()

No abstract is available for this item.

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File URL: http://hdl.handle.net/10.1007/s10436-007-0071-5
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Article provided by Springer in its journal Annals of Finance.

Volume (Year): 4 (2008)
Issue (Month): 1 (January)
Pages: 1-28

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Handle: RePEc:kap:annfin:v:4:y:2008:i:1:p:1-28
Contact details of provider: Web page: http://www.springerlink.com/link.asp?id=112370

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  1. Jun Liu & Francis A. Longstaff & Jun Pan, 2003. "Dynamic Asset Allocation with Event Risk," Journal of Finance, American Finance Association, vol. 58(1), pages 231-259, 02.
  2. Merton, Robert C., 1971. "Optimum consumption and portfolio rules in a continuous-time model," Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December.
  3. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
  4. Massimo Guidolin & Giovanna Nicodano, 2007. "Small caps in international equity portfolios: the effects of variance risk," Working Papers 2005-075, Federal Reserve Bank of St. Louis.
  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. Peter Carr & Liuren Wu, 2002. "The Finite Moment Log Stable Process and Option Pricing," Finance 0207012, EconWPA.
  7. Dilip B. Madan & Xing Jin & Peter Carr, 2001. "Optimal investment in derivative securities," Finance and Stochastics, Springer, vol. 5(1), pages 33-59.
  8. Das, Sanjiv Ranjan & Uppal, Raman, 2002. "Systemic Risk and International Portfolio Choice," CEPR Discussion Papers 3305, C.E.P.R. Discussion Papers.
  9. Massimo Guidolin & Allan Timmermann, 2008. "International asset allocation under regime switching, skew, and kurtosis preferences," Review of Financial Studies, Society for Financial Studies, vol. 21(2), pages 889-935, April.
  10. Chapman, D.A., 1996. "Approximating the Asset Pricing Kernel," Papers 96-02, Rochester, Business - Financial Research and Policy Studies.
  11. Rubinstein, Mark E., 1973. "The Fundamental Theorem of Parameter-Preference Security Valuation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 8(01), pages 61-69, January.
  12. Frank Milne & Dilip Madan, 1991. "Option Pricing With V. G. Martingale Components," Working Papers 1159, Queen's University, Department of Economics.
  13. Bansal, Ravi & Hsieh, David A & Viswanathan, S, 1993. " A New Approach to International Arbitrage Pricing," Journal of Finance, American Finance Association, vol. 48(5), pages 1719-47, December.
  14. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-55, January.
  15. Kraus, Alan & Litzenberger, Robert, 1983. " On the Distributional Conditions for a Consumption-Oriented Three Moment CAPM," Journal of Finance, American Finance Association, vol. 38(5), pages 1381-91, December.
  16. Carr, Peter & Wu, Liuren, 2004. "Time-changed Levy processes and option pricing," Journal of Financial Economics, Elsevier, vol. 71(1), pages 113-141, January.
  17. Peter Carr & Jin Xing & Madam Dilip, 2001. "Optimal Investment in Derivative Securities," Working Papers wpn01-01, Warwick Business School, Finance Group.
  18. Campbell R. Harvey & Akhtar Siddique, 2000. "Conditional Skewness in Asset Pricing Tests," Journal of Finance, American Finance Association, vol. 55(3), pages 1263-1295, 06.
  19. Peter Carr & Helyette Geman, 2002. "The Fine Structure of Asset Returns: An Empirical Investigation," The Journal of Business, University of Chicago Press, vol. 75(2), pages 305-332, April.
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