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A CAPM with higher moments: theory and econometrics

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  • Athayde, Gustavo M. de
  • Flôres Junior, Renato Galvão

Abstract

We develop portfolio choice theory taking into consideration the first p~ moments of the underIying assets distribution. A rigorous characterization of the opportunity set and of the efficient portfolios frontier is given, as well as of the solutions to the problem with a general utility function and short sales allowed. The extension of c1assical meanvariance properties, like two-fund separation, is also investigated. A general CAPM is derived, based on the theoretical foundations built, and its empirical consequences and testing are discussed

Suggested Citation

  • Athayde, Gustavo M. de & Flôres Junior, Renato Galvão, 1997. "A CAPM with higher moments: theory and econometrics," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 317, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
  • Handle: RePEc:fgv:epgewp:317
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    File URL: http://bibliotecadigital.fgv.br/dspace/bitstream/10438/515/3/EPGE_Ensaios_Economicos_317.pdf
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    Cited by:

    1. Flôres Junior, Renato Galvão & Athayde, Gustavo M. de, 2002. "On certain geometric aspects of portfolio optimisation with higher moments," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 453, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).

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