A three-moment based portfolio selection model
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References listed on IDEAS
- Kane, Alex, 1982. "Skewness Preference and Portfolio Choice," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(01), pages 15-25, March.
- Owen, Joel & Rabinovitch, Ramon, 1983. " On the Class of Elliptical Distributions and Their Applications to the Theory of Portfolio Choice," Journal of Finance, American Finance Association, vol. 38(3), pages 745-752, June.
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Mencía, Javier & Sentana, Enrique, 2009.
"Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation,"
Journal of Econometrics,
Elsevier, vol. 153(2), pages 105-121, December.
- Javier Mencía & Enrique Sentana, 2009. "Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation," Working Papers 0909, Banco de España;Working Papers Homepage.
- Fousseni Chabi-Yo & René Garcia & Eric Renault, 2005. "The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments," Staff Working Papers 05-2, Bank of Canada.
- repec:hal:journl:halshs-00336475 is not listed on IDEAS
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