Finding a maximum skewness portfolio - A general solution to three-moments portfolio choice
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References listed on IDEAS
- Ingersoll, Jonathan, 1975. "Multidimensional Security Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, pages 785-798.
- Samuelson, Paul A., 1967. "Efficient Portfolio Selection for Pareto-Lévy Investments," Journal of Financial and Quantitative Analysis, Cambridge University Press, pages 107-122.
- 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.
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