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Accounting for Illiquidity and Non-Normality of Returns in the Performance Assessment
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 1972Essays in the Theory of Risk-Bearing.3,991 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 1991Standard Risk Aversion851 cited
  • 2002Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns840 cited
  • 2003Profiting from voluntary information spillovers: how users benefit by freely revealing their innovations792 cited
  • 1980On The Direction of Preference for Moments of Higher Order Than The Variance737 cited
  • 1970The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments731 cited
  • 1967RISK AND THE REQUIRED RETURN ON EQUITY666 cited
  • 1997Risk-Adjusted Performance581 cited
  • 1973The Fundamental Theorem of Parameter-Preference Security Valuation447 cited
  • 2000Beyond Arbitrage: Good‐Deal Asset Price Bounds in Incomplete Markets419 cited
  • 1996Multifactor Portfolio Efficiency and Multifactor Asset Pricing306 cited
  • 1982Mean-Variance Theory in Complete Markets256 cited
  • 1999Modelling emerging market risk premia using higher moments239 cited

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  • 1988Distributional Analysis of Portfolio Choice221 cited
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