Efficient Portfolio Selection with Quadratic and Cubic Utility
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Fama, Eugene F & Farber, Andre, 1979. "Money, Bonds, and Foreign Exchange," American Economic Review, American Economic Association, vol. 69(4), pages 639-649, September.
- Hansen, Lars Peter & Hodrick, Robert J, 1980. "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis," Journal of Political Economy, University of Chicago Press, vol. 88(5), pages 829-853, October.
- John F. O. Bilson, 1979. "Recent Developments in Monetary Models of Exchange Rate Determination (Evolution rÃ©cente des modÃ¨les monÃ©taires de dÃ©termination des taux de change) (Progreso reciente en el campo de los modelos m," IMF Staff Papers, Palgrave Macmillan, vol. 26(2), pages 201-223, June.
- Hakkio, Craig S, 1981. "Expectations and the Forward Exchange Rate," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 22(3), pages 663-678, October.
- Geweke, John F & Feige, Edgar L, 1979. "Some Joint Tests of the Efficiency of Markets for Forward Foreign Exchange," The Review of Economics and Statistics, MIT Press, vol. 61(3), pages 334-341, August.
- Frankel, Jeffrey A., 1979. "The diversifiability of exchange risk," Journal of International Economics, Elsevier, vol. 9(3), pages 379-393, August.
- Goodman, Stephen H, 1979. "Foreign Exchange Rate Forecasting Techniques: Implications for Business and Policy," Journal of Finance, American Finance Association, vol. 34(2), pages 415-427, May.
- Hakkio, Craig S., 1981.
"The term structure of the forward premium,"
Journal of Monetary Economics,
Elsevier, pages 41-58.
- Craig S. Hakkio, 1979. "The Term Structure of the Forward Premium," Discussion Papers 404, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- Craig S. Hakkio, 1980. "The Term Structure of the Forward Premium," NBER Working Papers 0426, National Bureau of Economic Research, Inc.
- Fama, Eugene F, 1975. "Short-Term Interest Rates as Predictors of Inflation," American Economic Review, American Economic Association, vol. 65(3), pages 269-282, June.
- Bilson, John F O, 1981. "The "Speculative Efficiency" Hypothesis," The Journal of Business, University of Chicago Press, vol. 54(3), pages 435-451, July.
- Ralph W. Tryon, 1979. "Testing for rational expectations in foreign exchange markets," International Finance Discussion Papers 139, Board of Governors of the Federal Reserve System (U.S.).
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Eric Jondeau & Michael Rockinger, 2006. "Optimal Portfolio Allocation under Higher Moments," European Financial Management, European Financial Management Association, vol. 12(1), pages 29-55.
- Post, Thierry & van Vliet, Pim, 2006.
"Downside risk and asset pricing,"
Journal of Banking & Finance,
Elsevier, vol. 30(3), pages 823-849, March.
- Post, G.T. & van Vliet, P., 2004. "Downside Risk and Asset Pricing," ERIM Report Series Research in Management ERS-2004-018-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.
- 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.
- 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.
- 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.
- Brian M Lucey & Edel Tully & Valerio Poti, 2005. "International Portfolio Formation, Skewness & the Role of Gold," The Institute for International Integration Studies Discussion Paper Series iiisdp030, IIIS.
- 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.
- Gourieroux, C. & Monfort, A., 2005. "The econometrics of efficient portfolios," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 1-41, January.
- 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.
- 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.
- 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.
- 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.
- Ramaratnam, S. Sri & Rister, M. Edward & Bessler, David A. & Novak, James, 1986. "Risk Attitudes and Farm/Producer Attributes: A Case Study of Texas Coastal Bend Grain Sorghum Producers," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 18(02), pages 85-96, December.
- 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, December.
- 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.
- 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.
- Buccola, Steven T., 1982. "Portfolio Selection Under Exponential And Quadratic Utility," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 7(01), July.
- 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.
- 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.
- 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.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ucp:jnlbus:v:43:y:1970:i:2:p:181-89. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Journals Division). General contact details of provider: http://www.journals.uchicago.edu/JB/ .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.