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Efficient Portfolio Selection with Quadratic and Cubic Utility

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  • Hanoch, Giora
  • Levy, Haim

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  • Hanoch, Giora & Levy, Haim, 1970. "Efficient Portfolio Selection with Quadratic and Cubic Utility," The Journal of Business, University of Chicago Press, vol. 43(2), pages 181-189, April.
  • Handle: RePEc:ucp:jnlbus:v:43:y:1970:i:2:p:181-89
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    Citations

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    Cited by:

    1. Eric Jondeau & Michael Rockinger, 2006. "Optimal Portfolio Allocation under Higher Moments," European Financial Management, European Financial Management Association, vol. 12(1), pages 29-55.
    2. Post, Thierry & van Vliet, Pim, 2006. "Downside risk and asset pricing," Journal of Banking & Finance, Elsevier, vol. 30(3), pages 823-849, March.
    3. Drynan, Ross G., 1986. "A Note On Optimal Rules For Stochastic Efficiency Analysis," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 30(01), April.
    4. Hardaker, J. Brian & Tanago, A.G., 1973. "Assessment Of The Output Of A Stochastic Decision Model," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 17(03), December.
    5. Brian M Lucey, Valerio Poti, Edel Tully, 2006. "International Portfolio Formation, Skewness & the Role of Gold," Frontiers in Finance and Economics, SKEMA Business School, vol. 3(1), pages 49-68, June.
    6. Simaan, Yusif, 2014. "The opportunity cost of mean–variance choice under estimation risk," European Journal of Operational Research, Elsevier, vol. 234(2), pages 382-391.
    7. Gourieroux, C. & Monfort, A., 2005. "The econometrics of efficient portfolios," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 1-41, January.
    8. Flores-Ortega, Miguel. & Flores-Castillo, Lilia Alejandra. & Paredes-Gómez, Angelica., 2014. "Selección de portafolios de inversión incluyendo el efecto de asimetría: evidencia con activos de la Bolsa Mexicana de Valores," Panorama Económico, Escuela Superior de Economía, Instituto Politécnico Nacional, vol. 0(19), pages 77-101, segundo s.
    9. Post, G.T., 2003. "Asset prices and omitted moments; A stochastic dominance analysis of market efficiency," ERIM Report Series Research in Management ERS-2003-017-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.
    10. M. C. Lyne & G. F. Ortmann & N. Vink, 1991. "Food Security In Kwazulu: Results Of A Household-Based Programming Model," Journal of Agricultural Economics, Wiley Blackwell, vol. 42(1), pages 43-55.
    11. Ramaratnam, S. Sri & Rister, M. Edward & Bessler, David A. & Novak, James L., 1986. "Risk Attitudes And Farm/Producer Attributes: A Case Study Of Texas Coastal Bend Grain Sorghum Producers," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 18(02), December.
    12. Heidelbach, Olaf, 2007. "Efficiency of selected risk management instruments: An empirical analysis of risk reduction in Kazakhstani crop production," Studies on the Agricultural and Food Sector in Transition Economies, Leibniz Institute of Agricultural Development in Transition Economies (IAMO), volume 40, number 92323.
    13. repec:spr:joptap:v:153:y:2012:i:2:d:10.1007_s10957-011-9961-9 is not listed on IDEAS
    14. Drynan, Ross G., 1987. "Sufficient Conditions for Dominance of Simply Related Prospects," Review of Marketing and Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 55(01), April.
    15. Moshe Leshno & Haim Levy, 2002. "Preferred by "All" and Preferred by "Most" Decision Makers: Almost Stochastic Dominance," Management Science, INFORMS, vol. 48(8), pages 1074-1085, August.
    16. Buccola, Steven T., 1982. "Portfolio Selection Under Exponential And Quadratic Utility," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 7(01), July.
    17. 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.
    18. Heuts, R.M.J., 1978. "Portfolio models and time series analysis," Other publications TiSEM 48458631-edc8-42e9-8359-4, Tilburg University, School of Economics and Management.
    19. Cruz, Elmar Rodrigues da & Porto, Vitor Hugo da Fonseca, 1988. "Simplified Risk Analysis in Agricultural Extension," Agricultural Economics of Agricultural Economists, International Association of Agricultural Economists, vol. 1(4), January.

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